Heavy-tails and regime-switching in electricity prices
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- Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
References listed on IDEAS
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More about this item
KeywordsElectricity spot price; Heavy-tails; Spikes; Markov regime-switching; Pareto distribution;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ENE-2008-09-20 (Energy Economics)
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