Modeling Electricity Price Using A Threshold Conditional Autoregressive Geometric Process Jump Model
type: Item
instance of: scholarly article
title: Modeling Electricity Price Using A Threshold Conditional Autoregressive Geometric Process Jump Model
zbMATH Open document ID: 1462.62173
DOI: 10.1080/03610926.2013.788714
author: Jennifer S. K. Chan
author: S. T. Boris Choy
author: C. P. Lam
publication date: 2014-08-18T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 60G25
Mathematics Subject Classification ID: 60G35
zbMATH DE Number: 6331076
zbMATH Keywords: price spike
zbMATH Keywords: mean reversion
zbMATH Keywords: seasonality
zbMATH Keywords: long memory
zbMATH Keywords: heteroskedasticity
zbMATH Keywords: forecasting
describes a project that uses: WinBUGS
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/03610926.2013.788714
OpenAlex ID: W2041182578
cites work: A DIFFUSION MODEL FOR ELECTRICITY PRICES
cites work: Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
cites work: A Bayesian conditional autoregressive geometric process model for range data
cites work: SCALE MIXTURES DISTRIBUTIONS IN STATISTICAL MODELLING
cites work: Geometric processes and replacement problem
cites work: Bayesian Measures of Model Complexity and Fit
published in: Communications in Statistics. Theory and Methods
description: scientific article; zbMATH DE number 6331076