Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices
暂无分享，去创建一个
[1] Alvaro Escribano,et al. Modelling Electricity Prices: International Evidence , 2011 .
[2] Christopher R. Knittel,et al. An empirical examination of restructured electricity prices , 2005 .
[3] A. Müller,et al. A spot market model for pricing derivatives in electricity markets , 2004 .
[4] Marius Ooms,et al. Periodic Heteroskedastic Regarfima Models for Daily Electricity Spot Prices , 2003 .
[5] R. Huisman,et al. Erim Report Series Research in Management Regime Jumps in Electricity Prices , 2001 .
[6] Eduardo S. Schwartz,et al. Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange , 2000 .
[7] Michael P. Clements,et al. A Comparison of the Forecast Performance of Markov�?Switching and Threshold Autoregressive Models of Us Gnp , 1998 .
[8] D. Pilipović,et al. Energy Risk: Valuing and Managing Energy Derivatives , 1997 .
[9] James D. Hamilton. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .
[10] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[11] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[12] Bronwyn H Hall,et al. Estimation and Inference in Nonlinear Structural Models , 1974 .
[13] M. Obersteiner,et al. Forecasting electricity spot-prices using linear univariate time-series models , 2004 .