Forecasting electricity prices and their volatilities using Unobserved Components

The liberalization of electricity markets more than ten years ago in the vast majority of developed countries has introduced the need of modelling and forecasting electricity prices and volatilities, both in the short and long term.

MoreLess

Year of publication:	2011
Authors:	García-Martos, Carolina ; Rodríguez, Julio ; Sánchez, María Jesús
Published in:	Energy Economics. - Elsevier, ISSN 0140-9883. - Vol. 33.2011, 6, p. 1227-1239
Publisher:	Elsevier
Subject:	Conditional heteroskedasticity \| Dynamic factor analysis \| Iberian market \| Long run \| Non-stationary \| Short run

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039695