Bottazzi, Giulio; Sapio, Sandro; Secchi, Angelo - Laboratory of Economics and Management (LEM), Scuola … - 2004
It is widely accepted that in liberalized electricity markets log-returns display fat-tailed densities. Besides qualitative assessments, so far precise characterizations of the shape of the distribution have been seldom provided. In this work, we characterize the conditional and unconditional...