Extended ARMA models for estimating price developments on day-ahead electricity markets

Electric Power Systems Research

Volumn 77, Issue 5-6, 2007, Pages 583-593

  Swider, Derk J ^a   Weber, Christoph ^b  

^a UNIVERSITY OF STUTTGART   (Germany)

^b UNIVERSITY OF DUISBURG ESSEN   (Germany)

Author keywords

ARMA; Electricity market; GARCH; Gaussian mixture; Price development; Switching regime

Indexed keywords

COST ACCOUNTING; ELECTRIC POWER SYSTEMS; MATHEMATICAL MODELS; SWITCHING SYSTEMS;

ARMA; ELECTRICITY MARKET; GARCH; GAUSSIAN MIXTURES; PRICE DEVELOPMENT; SWITCHING REGIMES;

ELECTRIC INDUSTRY;

EID: 33846573328     PISSN: 03787796     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.epsr.2006.05.013     Document Type: Article

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