A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
Year of publication: |
October 2017
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Authors: | Pircalabu, Anca ; Benth, Fred Espen |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 68.2017, p. 283-302
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Subject: | Day-ahead electricity prices | Market coupling | Copula models | Tail dependence | Financial transmission rights | Tail quantile forecasting | Strompreis | Electricity price | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Volatilität | Volatility | Elektrizität | Electricity | Elektrizitätswirtschaft | Electric power industry | Elektrizitätsversorgung | Electricity supply | Statistische Verteilung | Statistical distribution | Markt | Market | Deutschland | Germany | Theorie | Theory |
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