A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching
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- Haldrup, Niels & Nielsen, Frank S. & Nielsen, Morten Ørregaard, 2010. "A vector autoregressive model for electricity prices subject to long memory and regime switching," Energy Economics, Elsevier, vol. 32(5), pages 1044-1058, September.
- Frank S. Nielsen & Morten Ã˜. Nielsen & Niels Haldrup, "undated". "A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching," Working Paper 1211, Economics Department, Queen's University.
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More about this item
KeywordsCointegration; electricity prices; fractional integration; long memory; Markov switching;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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