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

DOI10.2202/1558-3708.1367zbMath1225.62158OpenAlexW3124362478MaRDI 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

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Microeconomic theory (price theory and economic markets) (91B24)

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Uses Software

• Ox

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