Modeling the distribution of day-ahead electricity returns: a comparison

DOI10.1080/14697688.2010.502540zbMath1280.91203OpenAlexW2169113852MaRDI QIDQ5745655

Sandro Sapio

Publication date: 30 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.502540

zbMATH Keywords

energy marketsnon-Gaussian distributionsenergy economicsempirical time series analysis

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• Heavy-tails and regime-switching in electricity prices
• The extended exponential power distribution and Bayesian robustness.
• Hyperbolic distributions in finance
• Why are distributions of firm growth rates tent-shaped?
• On scale mixtures of normal distributions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling