Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

DOI10.2202/1558-3708.1367zbMath1225.62158MaRDI QIDQ5452739

Niels Haldrup, Morten Ørregaard Nielsen

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1367

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B24: Microeconomic theory (price theory and economic markets)

Related Items

Optimal electricity generation portfolios. The impact of price spread modelling, Day-ahead market bidding for a Nordic hydropower producer: taking the Elbas market into account

Uses Software

• Ox

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Estimation of fractional integration in the presence of data noise
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
• The KPSS test with seasonal dummies
• Testing for two-regime threshold cointegration in vector error-correction models.
• Viscosity solutions of HJB equations with unbounded data and characteristic points
• Long memory processes and fractional integration in econometrics
• Varieties of long memory models
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• Testing for a unit root in time series regression
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
• Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
• Long memory and regime switching