This paper discusses two regime-switching TARX models for electricity prices that include spikes, antispikes and microeconomic threshold effects typical of power markets, without using jumps.
SETARX models for spikes and antispikes in electricity prices
LUCHERONI, Carlo
2010-01-01
Abstract
This paper discusses two regime-switching TARX models for electricity prices that include spikes, antispikes and microeconomic threshold effects typical of power markets, without using jumps.File in questo prodotto:
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