Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a … electricity markets that we consider (APX in The Netherlands, EEX in Germany and Powernext in France) periodicity in the …
