The forecasting performance of a finite mixture regime-switching model for daily electricity prices
Dipeng Chen and Derek Bunn
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Dipeng ; Bunn, Derek W. |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 33.2014, 5, p. 364-375
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| Subject: | regime switching | finite mixtures | electricity | Strompreis | Electricity price | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Volatilität | Volatility | Elektrizitätswirtschaft | Electric power industry | ARMA-Modell | ARMA model | Statistische Verteilung | Statistical distribution |