Hellström, Jörgen; Lundgren, Jens; Yu, Haishan - In: Energy Economics 34 (2012) 6, pp. 1774-1781
The paper empirically explores the possible causes behind electricity price jumps in the Nordic electricity market, Nord Pool. A time-series model (a mixed GARCH–EARJI jump model) capturing the common statistical features of electricity prices is used to identify price jumps. By the model, a...