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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009
A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity prices where the transmission of power is subject to...
Persistent link: https://www.econbiz.de/10010290397
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Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
Ergemen, Yunus Emre; Haldrup, Niels; … - 2015
Persistent link: https://www.econbiz.de/10011409105
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Space-time modeling of electricity spot prices
Abate, Girum Dagnachew; Haldrup, Niels - 2015
Persistent link: https://www.econbiz.de/10010529454
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Space-time modeling of electricity spot prices
Abate, Girum Dagnachew; Haldrup, Niels - In: The energy journal 38 (2017) 5, pp. 175-196
Persistent link: https://www.econbiz.de/10011791805
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - 2009
A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity prices where the transmission of power is subject to...
Persistent link: https://www.econbiz.de/10003872445
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - In: Energy economics 32 (2010) 5, pp. 1044-1058
Persistent link: https://www.econbiz.de/10008934329
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Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads
Ergemen, Yunus Emre; Haldrup, Niels; … - In: Energy economics 60 (2016), pp. 79-96
Persistent link: https://www.econbiz.de/10011699799
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Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching
Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard - 2008
A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegration. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject...
Persistent link: https://www.econbiz.de/10014217076