This paper provides a method to forecast day-ahead electricity prices based on autoregressive integrated moving average (ARIMA) and generalized autoregressive conditional heteroskedastic (GARCH) models. In the competitive power market environment, electricity price forecasting is an essential...

Energy demand is mainly a function of own price, price of substitute energies, the activity level of sectors, cost of materials and labor and capital, cost-share of energy, elasticity of substitution parameters and households income. The main purpose of this paper is to measure the changes in...

This study has been investigated price regimes of two prime index in the world oil market(Brent and WTI) based on weekly data over the period 2003/1/3-2007/5/25 (before financial crisis) and 2009/3/6-2012/12/14(after financial crisis) by using marko regime switching model whit dynamic...

This paper evaluates dynamic correlation between growth of Industry and Mine sector and crude oil price in Iran over the period of 1367:1 to 1389:4, with emphasis on the origin of oil price shocks. We apply Dynamic Conditional Correlation (DCC) model to estimate dynamic correlation. Our results...