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The stability of electricity prices: estimation and inference of the Lyapunov exponents Author info | Abstract | Publisher info | Download info | Related research | Statistics Bask , Mikael () (Bank of Finland Research)
Liu , Tung () (Department of Economics, Ball State University)
Widerberg , Anna () (Department of Economics)
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The aim of this paper is to illustrate how the stability of a stochastic dynamic system is measured using the Lyapunov exponents. Specifically, we use a feedforward neural network to estimate these exponents as well as asymptotic results for this estimator to test for unstable (chaotic) dynamics. The data set used is spot electricity prices from the Nordic power exchange market. Nord Pool, and the dynamic system that generates these prices appears to be chaotic in one case.
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Paper provided by Bank of Finland in its series Research Discussion Papers with number
9/2006.
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Length: 23 pages
Date of creation: 12 Jun 2006Date of revision:
Handle: RePEc:hhs:bofrdp:2006_009Contact details of provider: Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland Web page: http://www.bof.fi/en/tutkimus More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Minna Valkama).
Keywords: feedforward neural network ; Nord Pool ; Lyapunov exponents ; spot electricity prices ; stochastic dynamic system ; Other versions of this item:
Find related papers by JEL classification: C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Niinimäki, Juha-Pekka & Takalo, Tuomas & Kultti, Klaus, 2006.
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STICERD - Econometrics Paper Series
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"EMU and the Stability and Volatility of Foreign Exchange: Some Empirical Evidence ,"
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Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996.
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