Abate, Girum D.; Haldrup, Niels - School of Economics and Management, University of Aarhus - 2015
In this paper we derive a space-time model for electricity spot prices. A general spatial Durbin model that … incorporates the temporal as well as spatial lags of spot prices is presented. Joint modeling of space-time effects is necessarily … with distance. In order to examine the evolution of the spatial correlation over time, a time varying parameters spot price …