Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components
Filippos Ioannidis, Kyriaki Kosmidou, Christos Savva, Panayiotis Theodossiou
| Year of publication: |
2021
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|---|---|
| Authors: | Ioannidis, Filippos ; Kosmidou, Kyriaki ; Savva, Christos ; Theodossiou, Panayiotis |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 95.2021, p. 1-17
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| Subject: | Asymmetric volatility | Pure and skewness price of risk | Risk analysis | Risk neutral equilibrium electricity prices | Skewed generalized error distribution | Volatilität | Volatility | ARCH-Modell | ARCH model | Strompreis | Electricity price | Theorie | Theory | Risiko | Risk | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2021.105110 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012816560