Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices
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- Joanna Janczura & Rafal Weron, 2011. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Technology.
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More about this item
KeywordsMarkov regime-switching; heteroskedasticity; EM algorithm; independent regimes; electricity spot price;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-CMP-2010-11-20 (Computational Economics)
- NEP-ECM-2010-11-20 (Econometrics)
- NEP-ENE-2010-11-20 (Energy Economics)
- NEP-ORE-2010-11-20 (Operations Research)
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