-
1
-
-
0001758906
-
Heteroscedasticity and autocorrelation consistent covariance matrix estimation
-
Andrews DWK. 1991. Heteroscedasticity and autocorrelation consistent covariance matrix estimation. Econo-metrica 59: 817-858.
-
(1991)
Econo-metrica
, vol.59
, pp. 817-858
-
-
Andrews, D.W.K.1
-
2
-
-
11144273166
-
Outliers-robust ECM cointegration tests based on the trend components
-
Arranz MA, Escribano A. 2004. Outliers-robust ECM cointegration tests based on the trend components. Spanish Economic Review 6: 243-266.
-
(2004)
Spanish Economic Review
, vol.6
, pp. 243-266
-
-
Arranz, M.A.1
Escribano, A.2
-
3
-
-
27144488480
-
The Role of Power Exchanges for the Creation of a Single European Electricity Market
-
Delft University Press: Delft
-
Boisselau F. 2004. The Role of Power Exchanges for the Creation of a Single European Electricity Market: Market Design and Market Regulation. Delft University Press: Delft.
-
(2004)
Market Design and Market Regulation
-
-
Boisselau, F.1
-
6
-
-
13844262802
-
Extreme value theory and extremely large electricity price changes
-
Byström HNE. 2005. Extreme value theory and extremely large electricity price changes. International Review of Economics and Finance 14: 41-55.
-
(2005)
International Review of Economics and Finance
, vol.14
, pp. 41-55
-
-
Byström, H.N.E.1
-
9
-
-
0033461444
-
Price dynamics in a network of decentralized power markets
-
DeVany AS, Walls WD. 1999a. Price dynamics in a network of decentralized power markets. Journal of Regulatory Economics 15: 123-140.
-
(1999)
Journal of Regulatory Economics
, vol.15
, pp. 123-140
-
-
Devany, A.S.1
Walls, W.D.2
-
10
-
-
0032720526
-
Cointegration analysis of spot electricity prices: Insights on transmission efficiency in the western U.S
-
DeVany AS, Walls WD. 1999b. Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western U.S. Energy Economics 21: 417-434.
-
(1999)
Energy Economics
, vol.21
, pp. 417-434
-
-
Devany, A.S.1
Walls, W.D.2
-
11
-
-
36749040663
-
Energy price dynamics: Quantitative studies and stochastic processes
-
University of Karlsruhe
-
Deidersen J, Trück S. 2002. Energy price dynamics: quantitative studies and stochastic processes. Technical Document TR-ISWM-12/2002, University of Karlsruhe.
-
(2002)
Technical Document TR-ISWM-12/2002
-
-
Deidersen, J.1
Trück, S.2
-
14
-
-
0039789821
-
The effects of additive outliers on tests for unit roots and cointegration
-
Franses PH, Haldrup N. 1994. The effects of additive outliers on tests for unit roots and cointegration. Journal of Business and Economic Statistics 12: 471-478.
-
(1994)
Journal of Business and Economic Statistics
, vol.12
, pp. 471-478
-
-
Franses, P.H.1
Haldrup, N.2
-
16
-
-
33748193812
-
A regime switching long memory model for electricity prices
-
Haldrup N, Nielsen MØ. 2006a. A regime switching long memory model for electricity prices. Journal of Econometrics 135: 349-376.
-
(2006)
Journal of Econometrics
, vol.135
, pp. 349-376
-
-
Haldrup, N.1
Nielsen, M.Ø.2
-
17
-
-
33749579076
-
Directional congestion and regime switching in a long memory model for electricity prices
-
Article 1
-
Haldrup N, Nielsen MØ. 2006b. Directional congestion and regime switching in a long memory model for electricity prices. Studies in Nonlinear Dynamics and Econometrics 10(3): Article 1.
-
(2006)
Studies In Nonlinear Dynamics and Econometrics
, vol.10
, Issue.3
-
-
Haldrup, N.1
Nielsen, M.Ø.2
-
20
-
-
0141560287
-
Regime jumps in electricity prices
-
Huisman R, Mahieu R. 2003. Regime jumps in electricity prices. Energy Economics 25: 425-434.
-
(2003)
Energy Economics
, vol.25
, pp. 425-434
-
-
Huisman, R.1
Mahieu, R.2
-
21
-
-
23944453109
-
An empirical examination of restructured electricity prices
-
Knittel CR, Roberts MR. 2005. An empirical examination of restructured electricity prices. Energy Economics 27: 791-817.
-
(2005)
Energy Economics
, vol.27
, pp. 791-817
-
-
Knittel, C.R.1
Roberts, M.R.2
-
26
-
-
0000158117
-
Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
-
Johansen S. 1991. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59: 1551-1580.
-
(1991)
Econometrica
, vol.59
, pp. 1551-1580
-
-
Johansen, S.1
-
28
-
-
0023842809
-
Robust estimation of the mean and covariance matrix from data with missing values
-
Little RJA. 1988. Robust estimation of the mean and covariance matrix from data with missing values. Applied Statistics 37: 23-38.
-
(1988)
Applied Statistics
, vol.37
, pp. 23-38
-
-
Little, R.J.A.1
-
29
-
-
0000848039
-
An outlier robust unit root test with an application to the extended Nelson-Plosser data
-
Lucas A. 1995a. An outlier robust unit root test with an application to the extended Nelson-Plosser data. Journal of Econometrics 66: 153-174.
-
(1995)
Journal of Econometrics
, vol.66
, pp. 153-174
-
-
Lucas, A.1
-
30
-
-
84974146793
-
Unit root test based on M-estimators
-
Lucas A. 1995b. Unit root test based on M-estimators. Econometric Theory 11: 331-346.
-
(1995)
Econometric Theory
, vol.11
, pp. 331-346
-
-
Lucas, A.1
-
31
-
-
0031476936
-
Cointegration testing using pseudolikelihood ratio tests
-
Lucas A. 1997. Cointegration testing using pseudolikelihood ratio tests. Econometric Theory 13: 149-169.
-
(1997)
Econometric Theory
, vol.13
, pp. 149-169
-
-
Lucas, A.1
-
32
-
-
0040953731
-
Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods
-
Lucas A. 1998. Inference on cointegrating ranks using LR and LM tests based on pseudo-likelihoods. Econometric Reviews 17: 185-214.
-
(1998)
Econometric Reviews
, vol.17
, pp. 185-214
-
-
Lucas, A.1
-
35
-
-
84963002108
-
Automatic lag selection in covariance matrix estimation
-
Newey WK, West KD. 1994. Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61: 631-654.
-
(1994)
Review of Economic Studies
, vol.61
, pp. 631-654
-
-
Newey, W.K.1
West, K.D.2
-
36
-
-
0034395571
-
Test of common stochastic trends
-
Nyblom J, Harvey A. 2000. Test of common stochastic trends. Econometric Theory 16: 176-199.
-
(2000)
Econometric Theory
, vol.16
, pp. 176-199
-
-
Nyblom, J.1
Harvey, A.2
-
37
-
-
0001420425
-
Comparison of tests for the presence of random walk coefficients in a simple linear model
-
Nyblom J, Mäkeläinen T. 1983. Comparison of tests for the presence of random walk coefficients in a simple linear model. Journal of the American Statistical Association 78: 856-864.
-
(1983)
Journal of The American Statistical Association
, vol.78
, pp. 856-864
-
-
Nyblom, J.1
Mäkeläinen, T.2
-
38
-
-
4043135853
-
Market power and the power market: Multi-unit bidding and (in)efficiency in electricity auctions
-
Parisio L, Bosco B. 2003. Market power and the power market: multi-unit bidding and (in)efficiency in electricity auctions. International Tax and Public Finance 10: 377-401.
-
(2003)
International Tax and Public Finance
, vol.10
, pp. 377-401
-
-
Parisio, L.1
Bosco, B.2
-
39
-
-
43449098133
-
Electricity prices and cross-border trade: Volume and strategy effects
-
Parisio L, Bosco B. 2008. Electricity prices and cross-border trade: volume and strategy effects. Energy Economics 30: 1760-1775.
-
(2008)
Energy Economics
, vol.30
, pp. 1760-1775
-
-
Parisio, L.1
Bosco, B.2
-
40
-
-
30344489047
-
Price dynamics among U.S. electricity spot markets
-
Park H, Mjelde JW, Bessler DA. 2006. Price dynamics among U.S. electricity spot markets. Energy Economics 28: 81-101.
-
(2006)
Energy Economics
, vol.28
, pp. 81-101
-
-
Park, H.1
Mjelde, J.W.2
Bessler, D.A.3
-
41
-
-
84974142622
-
Robust nonstationary regression
-
Phillips PCB. 1995. Robust nonstationary regression. Econometric Theory 11: 912-951.
-
(1995)
Econometric Theory
, vol.11
, pp. 912-951
-
-
Phillips, P.C.B.1
-
42
-
-
84959818799
-
Statistical inference in instrumental variables regression with I(1) processes
-
Phillips PCB, Hansen BE. 1990. Statistical inference in instrumental variables regression with I(1) processes. Review of Economic Studies 57: 99-125.
-
(1990)
Review of Economic Studies
, vol.57
, pp. 99-125
-
-
Phillips, P.C.B.1
Hansen, B.E.2
-
43
-
-
33750552349
-
Bootstrap algorithms for testing and determining the cointegration rank in VAR models
-
Swensen AR. 2006. Bootstrap algorithms for testing and determining the cointegration rank in VAR models. Econometrica 74: 1699-1714.
-
(2006)
Econometrica
, vol.74
, pp. 1699-1714
-
-
Swensen, A.R.1
-
44
-
-
0034237950
-
On the uniqueness of S-functionals and M-functionals under nonelliptical distributions
-
Tatsuoka KS, Tyler DE. 2000. On the uniqueness of S-functionals and M-functionals under nonelliptical distributions. Annals of Statistics 28: 1219-1243.
-
(2000)
Annals of Statistics
, vol.28
, pp. 1219-1243
-
-
Tatsuoka, K.S.1
Tyler, D.E.2
-
45
-
-
77954290814
-
Transmission of prices and volatility in the Australian electricity spot markets
-
Bunn DW (ed.). Wiley: New York
-
Worthington AC, Higgs H. 2004. Transmission of prices and volatility in the Australian electricity spot markets. In Modelling Prices in Competitive Electricity Markets, Bunn DW (ed.). Wiley: New York
-
(2004)
Modelling Prices In Competitive Electricity Markets
-
-
Worthington, A.C.1
Higgs, H.2
-
46
-
-
43449093434
-
Electricity wholesale market prices in Europe: Convergence?
-
Zachmann G. 2008. Electricity wholesale market prices in Europe: convergence? Energy Economics 30: 1659-1671.
-
(2008)
Energy Economics
, vol.30
, pp. 1659-1671
-
-
Zachmann, G.1
|