Concepedia

A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets

Anca Pircalabu, Fred Espen Benth

Energy Economics · 2017 · 34 citations · 19 references

Open access

Concepts

BusinessEconomicsEconometricsForecastingTime Series AnalysisDependence ModelingElectricity MarketsPricing Under UncertaintyRegime-switching ModelsTemporal Dependence ModelingTime Series ModelingCopula-based ForecastingDay-ahead Electricity MarketsDay-ahead ForecastingElectricity Market AnalysisEnergy Price Volatility ModelingRegime-switching CopulasRegime-switching Forecasting

References

19

Multivariate Models and Dependence Concepts.

Trevor J. Ringrose, Harry Joe · Biometrics · 1998 · 3.5K citations

Business, Biostatistics, Statistical Modeling +12

Evaluating Interval Forecasts

Peter Christoffersen · International Economic Review · 1998 · 2.7K citations

Business, Economics, Risk Management +17

MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

Andrew J. Patton · International Economic Review · 2006 · 2.1K citations

Social Sciences, Economics, Econometrics +10

Pair-copula constructions of multiple dependence

Kjersti Aas, Claudia Czado, Arnoldo Frigessi et al. · Insurance Mathematics and Economics · 2007 · 2K citations · Full text

Natural Sciences, Mathematics, Probability Theory +8

Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

Julio J. Lucia, Eduardo S. Schwartz · Review of Derivatives Research · 2002 · 952 citations

Natural Resources, Economics, Electrical Engineering +17