The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis

The aim of this letter is to discuss and illustrate what we call (lambda, sigma-2)analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate new research questions for economic theory. The data set used in an empirical illustration is spot electricity prices from Nord Pool.<p>

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Year of publication:	2007-10-09
Authors:	Bask, Mikael ; Widerberg, Anna
Institutions:	Nationalekonomiska institutionen, Handelshögskolan
Subject:	Smooth Lyapunov Exponents \| Stability \| Stochastic Dynamic System \| Volatility

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Extent:	text/html
Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Papers in Economics Number 267 10 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005651613