Bask, Mikael () (Monetary Policy and Research Department, Bank of Finland) Widerberg, Anna () (Department of Economics, School of Business, Economics and Law, Göteborg University)
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The aim of this letter is to discuss and illustrate what we call (lambda, sigma-2)analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate new research questions for economic theory. The data set used in an empirical illustration is spot electricity prices from Nord Pool.
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Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number
267.
Length: 10 pages Date of creation: 09 Oct 2007 Date of revision: Handle: RePEc:hhs:gunwpe:0267
Contact details of provider: Postal: Department of Economics, School of Business, Economics and Law, Göteborg University Box 640, SE 405 30 GÖTEBORG, Sweden Phone: 031-773 10 00 Web page: http://www.handels.gu.se/econ/ More information through EDIRC
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