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Anti-correlation and multifractal features of Spain electricity spot market

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  1. Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  2. Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008. "Time series analysis and long range correlations of Nordic spot electricity market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574.
  3. Bennedsen, Mikkel, 2017. "A rough multi-factor model of electricity spot prices," Energy Economics, Elsevier, vol. 63(C), pages 301-313.
  4. Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
  5. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
  6. Furió, Dolores, 2011. "A Survey on the Spanish Electricity Intraday Market/El mercado de electricidad español: el mercado intradiario," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 29, pages 657(20.)-65, Agosto.
  7. Mikkel Bennedsen, 2015. "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers 2015-42, Department of Economics and Business Economics, Aarhus University.
  8. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
  9. Ladislav KRISTOUFEK & Petra LUNACKOVA, 2013. "Long-term Memory in Electricity Prices: Czech Market Evidence," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 407-424, November.
  10. Wang, Yudong & Wu, Chongfeng & Wei, Yu, 2011. "Can GARCH-class models capture long memory in WTI crude oil markets?," Economic Modelling, Elsevier, vol. 28(3), pages 921-927, May.
  11. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
  12. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
  13. Pablo Su'arez-Garc'ia & David G'omez-Ullate, 2013. "Multifractality and long memory of a financial index," Papers 1306.0490, arXiv.org.
  14. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
  15. Alvarez-Ramirez, J. & Escarela-Perez, R. & Espinosa-Perez, G. & Urrea, R., 2009. "Dynamics of electricity market correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(11), pages 2173-2188.
  16. Ling-Yun He, 2010. "Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 263-282, October.
  17. Marossy, Zita, 2011. "A villamos energia áralakulásának egy új modellje [A new model for price movement in electric power]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 253-274.
  18. Suárez-García, Pablo & Gómez-Ullate, David, 2014. "Multifractality and long memory of a financial index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 226-234.
  19. Fan, Qingju, 2016. "Asymmetric multiscale detrended fluctuation analysis of California electricity spot price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 252-260.
  20. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
  21. Alvarez-Ramirez, Jose & Escarela-Perez, Rafael, 2010. "Time-dependent correlations in electricity markets," Energy Economics, Elsevier, vol. 32(2), pages 269-277, March.
  22. Zhang, Chen & Ni, Zhiwei & Ni, Liping & Li, Jingming & Zhou, Longfei, 2016. "Asymmetric multifractal detrending moving average analysis in time series of PM2.5 concentration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 322-330.
  23. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
  24. Qian, Xi-Yuan & Gu, Gao-Feng & Zhou, Wei-Xing, 2011. "Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4388-4395.
  25. Rypdal, Martin & Løvsletten, Ola, 2013. "Modeling electricity spot prices using mean-reverting multifractal processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 194-207.
  26. Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
  27. Serinaldi, Francesco, 2010. "Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2770-2781.
  28. Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
  29. Kracík, Jiří & Lavička, Hynek, 2016. "Fluctuation analysis of high frequency electric power load in the Czech Republic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 951-961.
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