Showing 1 - 10 of 219
In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of strictly stationary processes. The percentiles and expectiles are estimated in terms of asymmetric least...
Persistent link: https://www.econbiz.de/10005766365
An important issue in fitting stochastic models to electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, estimation routines for the long-term and short-term seasonal pattern are usually quite sensitive to extreme observations,...
Persistent link: https://www.econbiz.de/10015232387
We investigate the effects of outlier treatment on the estimation of the seasonal component and stochastic models in electricity markets. Typically, electricity spot prices exhibit features like seasonality, mean-reverting behavior, extreme volatility and the occurrence of jumps and spikes....
Persistent link: https://www.econbiz.de/10015237180
In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of strictly stationary processes. The percentiles and expectiles are estimated in terms of asymmetric least...
Persistent link: https://www.econbiz.de/10014620918
Persistent link: https://www.econbiz.de/10009949814
Persistent link: https://www.econbiz.de/10002651853
Persistent link: https://www.econbiz.de/10001876295
Persistent link: https://www.econbiz.de/10001876309
Price spikes are of particular importance due to their severe impacts on consumers, businesses and industry. They constitute a major source of price risk to market participants, e.g., electricity retailers with commitments to meet customers' daily electricity demands. To those trading in several...
Persistent link: https://www.econbiz.de/10013061544
Tail dependence characterizes cross market linkages during periods of extreme price behavior. Analyzing tail dependence can richly inform market participants, in particular those operating across several markets how to understand price risk. A copula approach is therefore employed to assess the...
Persistent link: https://www.econbiz.de/10013061545