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~isPartOf:"Working Papers / Economics Department, Queen's University"
~person:"Nielsen, Morten Ørregaard"
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A vector autoregressive model for electricity prices subject to long memory and regime switching
Haldrup, Niels
;
Nielsen, Frank S.
;
Nielsen, Morten …
-
Economics Department, Queen's University
-
2009
regime states as well as the possibility of fractional
cointegration
. The model is motivated by the dynamics of electricity …
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