Keles, Dogan; Genoese, Massimo; Möst, Dominik; … - In: Energy Economics 34 (2012) 4, pp. 1012-1032
This paper evaluates different financial price and time series models, such as mean reversion, autoregressive moving average (ARMA), integrated ARMA (ARIMA) and general autoregressive conditional heteroscedasticity (GARCH) process, usually applied for electricity price simulations. However, as...