A two-factor model for electricity prices with dynamic volatility
Year of publication: |
2009
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Authors: | Schlüter, Stephan |
Publisher: |
Nürnberg : Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |
Subject: | Stromtarif | Volatilität | Zustandsraummodell | Zeitreihenanalyse | ARCH-Modell | Multivariate Analyse | Theorie | Wavelets | Seasonal Filter | Relative Wavelet Energy | Multivariate GARCH | Energy Price Modelling |
Series: | IWQW Discussion Papers ; 04/2009 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 612503909 [GVK] hdl:10419/29555 [Handle] RePEc:zbw:iwqwdp:042009 [RePEc] |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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