Regime Jumps in Electricity Prices
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References listed on IDEAS
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
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Keywordselectricity prices; international energy markets; jumps; mean reversion; stochastic models;
- G3 - Financial Economics - - Corporate Finance and Governance
- M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics
- Q31 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Demand and Supply; Prices
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-08-30 (All new papers)
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