A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
A. Pircalabu, F.E. Benth
| Year of publication: |
October 2017
|
|---|---|
| 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
|
| Subject: | Day-ahead electricity prices | Market coupling | Copula models | Tail dependence | Financial transmission rights | Tail quantile forecasting | Strompreis | Electricity price | Multivariate Verteilung | Multivariate distribution | Energiemarkt | Energy market | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Elektrizitätsversorgung | Electricity supply | Theorie | Theory | Prognoseverfahren | Forecasting model | Elektrizitätswirtschaft | Electric power industry | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.10.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011905725