A two-factor model for electricity prices with dynamic volatility
Year of publication: |
2009
|
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Authors: | Schlüter, Stephan |
Institutions: | Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg |
Subject: | Wavelets | Seasonal Filter | Relative Wavelet Energy | Multivariate GARCH | Energy Price Modelling |
Extent: | application/pdf |
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Series: | IWQW Discussion Paper Series. - ISSN 1867-6707. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 04/2009 |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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A two-factor model for electricity prices with dynamic volatility
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