A regime switching long memory model for electricity prices

DOI10.1016/j.jeconom.2005.07.021zbMath1418.62458OpenAlexW3124738382MaRDI QIDQ291856

Morten Ørregaard Nielsen, Niels Haldrup

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.021

zbMATH Keywords

cointegrationlong memoryforecastingMarkov switchingelectricity pricesfractional integration and cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Uses Software

• Ox

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