A two-factor model for electricity prices with dynamic volatility
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KeywordsWavelets; Seasonal Filter; Relative Wavelet Energy; Multivariate GARCH; Energy Price Modelling;
- 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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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