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Estimation of a longitudinal multivariate stochastic volatility model for the analysis of intra-day electricity prices

Smith, Michael S. (contributor); Cottet, Remy (contributor) - 2006

Persistent link: https://www.econbiz.de/10003301799

Econometric modeling of regional electricity spot prices in the Australian market

Smith, Michael S.; Shively, Thomas S. - In: Energy economics 74 (2018), pp. 886-903

Persistent link: https://www.econbiz.de/10011972998

Deep distributional time series models and the probabilistic forecasting of intraday electricity prices

Klein, Nadja; Smith, Michael S.; Nott, David J. - In: Journal of applied econometrics 38 (2023) 4, pp. 493-511

Persistent link: https://www.econbiz.de/10014288014

Bayesian inference for a periodic stochastic volatility model of intraday electricity prices

Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010

Persistent link: https://www.econbiz.de/10003964500

Econometric Modeling of Regional Electricity Spot Prices in the Australian Market

Smith, Michael S. - 2018

Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricity is growing. To model this, we consider a spatial equilibrium model of price formation, where constraints on inter-regional flows result in three distinct equilibria...

Persistent link: https://www.econbiz.de/10012920907

Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions

Panagiotelis, Anastasios; Smith, Michael - In: International journal of forecasting 24 (2008) 4, pp. 710-727

Persistent link: https://www.econbiz.de/10003808377