Measuring long-range dependence in electricity prices
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis, Detrended Fluctuation Analysis and periodogram regression.
|Date of creation:||Mar 2001|
|Date of revision:|
|Publication status:||Published in in H. Takayasu ed., "Empirical Science of Financial Fluctuations" (Springer-Verlag Tokyo, 2002), pp. 110-119|
|Contact details of provider:|| Web page: http://arxiv.org/|
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