-
2
-
-
42449156579
-
Generalized Autoregressive Conditional Heteroskedasticity
-
Bollerslev, T. (1986) 'Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, vol. 31, pp. 307-27.
-
(1986)
Journal of Econometrics
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
3
-
-
84981376905
-
On the Correlation Structure for the Generalized Autoregressive Conditional Heteroscedastic Process
-
Bollerslev, T. (1988) 'On the Correlation Structure for the Generalized Autoregressive Conditional Heteroscedastic Process', Journal of Time Series Analysis, vol. 9.
-
(1988)
Journal of Time Series Analysis
, vol.9
-
-
Bollerslev, T.1
-
6
-
-
0036577622
-
Forecasting Next-Day Electricity Prices by Time Series Models
-
Contreras, J., Conejo, A., Nogales, F. and Espinola, R. (2002) 'Forecasting Next-Day Electricity Prices by Time Series Models', IEEE Trans Power System, vol. 17(2), pp. 342-8.
-
(2002)
IEEE Trans Power System
, vol.17
, Issue.2
, pp. 342-348
-
-
Contreras, J.1
Conejo, A.2
Nogales, F.3
Espinola, R.4
-
7
-
-
0042526149
-
ARIMA Models to Predict Next Day Electricity Prices
-
Contreras, J., Conejo, A., Nogales, F. and Espinola, R. (2003) 'ARIMA Models to Predict Next Day Electricity Prices', IEEE Trans Power System, vol. 18(3), pp. 1014-20.
-
(2003)
IEEE Trans Power System
, vol.18
, Issue.3
, pp. 1014-1020
-
-
Contreras, J.1
Conejo, A.2
Nogales, F.3
Espinola, R.4
-
9
-
-
85036258669
-
Distribution of the Estimators for Autoregressive Time Series with Unit Root
-
Dickey, D. and Fuller,W. (1979) 'Distribution of the Estimators for Autoregressive Time Series with Unit Root', Journal of the American Statistical Association, vol. 74, p. 366.
-
(1979)
Journal of the American Statistical Association
, vol.74
, pp. 366
-
-
Dickey, D.1
Fuller, W.2
-
10
-
-
84986174723
-
Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root
-
Dickey, D. and Fuller, W. (1981) 'Likelihood Ratio Statistics for Autoregressive Time Series with Unit Root', Econometrica, vol. 49, no. 4.
-
(1981)
Econometrica
, vol.49
, Issue.4
-
-
Dickey, D.1
Fuller, W.2
-
11
-
-
0000051984
-
Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation
-
Engle, R. (1982) 'Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation', Econometrica, vol. 50, pp. 987-1008.
-
(1982)
Econometrica
, vol.50
, pp. 987-1008
-
-
Engle, R.1
-
12
-
-
0000051984
-
Estimating Time Varying Risk Premia in the Term Structure: the ARCH-Model
-
Engle, R.F., Lilien, D.M. and Robbin, R.P. (1987) 'Estimating Time Varying Risk Premia in the Term Structure: the ARCH-Model', Econometrica, vol. 55.
-
(1987)
Econometrica
, vol.55
-
-
Engle, R.F.1
Lilien, D.M.2
Robbin, R.P.3
-
13
-
-
0142113605
-
-
Universidad Carlos III de Madrid, Working Paper
-
Escribano, A., Pena, J. and Villaplana, P. (2002) 'Modelling Electricity Prices: International Evidence', Universidad Carlos III de Madrid, Working Paper.
-
(2002)
Modelling Electricity Prices: International Evidence
-
-
Escribano, A.1
Pena, J.2
Villaplana, P.3
-
15
-
-
27144483125
-
Further Advances in Forecasting Day-Ahead Electricity Prices Using Times Series Model
-
Guirguis, H. and Felder, F. (2004) 'Further Advances in Forecasting Day-Ahead Electricity Prices Using Times Series Model', KIEE International Transactions on PE, vol. 4-A(3), pp. 159-66.
-
(2004)
KIEE International Transactions on PE
, vol.4 A
, Issue.3
, pp. 159-166
-
-
Guirguis, H.1
Felder, F.2
-
17
-
-
30744456558
-
Markets for Power in the United States: An Interim Assessment
-
January
-
Joskow, P. (2006) 'Markets for Power in the United States: An Interim Assessment', Energy Journal, January, vol. 27, no. 1, pp. 1-36.
-
(2006)
Energy Journal
, vol.27
, Issue.1
, pp. 1-36
-
-
Joskow, P.1
-
18
-
-
0003124706
-
The Challenge of Pricing and Risk Managing Electricity Derivatives
-
November
-
Kaminski, V. (1997) 'The Challenge of Pricing and Risk Managing Electricity Derivatives', The U.S. Power Market, November, pp. 149-71.
-
(1997)
The U.S. Power Market
, pp. 149-171
-
-
Kaminski, V.1
-
20
-
-
0142001910
-
-
University of California, Energy Institute,Working Paper, October, PWP 087
-
Knittel, C. and Roberts, M. (2001) 'An Empirical Examination of Deregulated Electricity Prices', University of California, Energy Institute,Working Paper, October, PWP 087.
-
(2001)
An Empirical Examination of Deregulated Electricity Prices
-
-
Knittel, C.1
Roberts, M.2
-
21
-
-
34247480179
-
Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root
-
Kwiatkowski, D., Phillips, P., Schmidt, P., Shin, Y. (1992) 'Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root', Journal of Econometrics, vol. 54, 159-78.
-
(1992)
Journal of Econometrics
, vol.54
, pp. 159-178
-
-
Kwiatkowski, D.1
Phillips, P.2
Schmidt, P.3
Shin, Y.4
-
22
-
-
4344591747
-
Electricity Forward Prices: A High-Frequency Empirical Analysis
-
Longstaff, F. and Wang, A. (2004) 'Electricity Forward Prices: A High-Frequency Empirical Analysis', Journal of Finance, vol. 59, no. 4, pp. 1877-900.
-
(2004)
Journal of Finance
, vol.59
, Issue.4
, pp. 1877-1900
-
-
Longstaff, F.1
Wang, A.2
-
23
-
-
34248474317
-
Option Pricing when Underlying Stock Returns are Discontinuous
-
Merton, R. (1976) 'Option Pricing when Underlying Stock Returns are Discontinuous', Journal of Financial Economics, vol. 3, pp. 125-44.
-
(1976)
Journal of Financial Economics
, vol.3
, pp. 125-144
-
-
Merton, R.1
-
24
-
-
33749518657
-
Stable Modelling of Different European Power Markets
-
Mugele, C., Rachev, S. and Trück, S. (2005) 'Stable Modelling of Different European Power Markets', Investment Management and Financial Innovations, vol. 3.
-
(2005)
Investment Management and Financial Innovations
, vol.3
-
-
Mugele, C.1
Rachev, S.2
Trück, S.3
-
25
-
-
49049143455
-
Trends and Random Walks in Macroeconomics Time Series: Some Evidence And Applications
-
Nelson, C.R. and Plosser, C. (1982) 'Trends and Random Walks in Macroeconomics Time Series: Some Evidence And Applications', Journal of Monetary Economics, vol. 10.
-
(1982)
Journal of Monetary Economics
, vol.10
-
-
Nelson, C.R.1
Plosser, C.2
-
26
-
-
84972091517
-
Stationarity and Persistence in the GARCH Model
-
Nelson, D. (1991) 'Stationarity and Persistence in the GARCH Model', Econometric Theory, vol. 6, pp. 318-44.
-
(1991)
Econometric Theory
, vol.6
, pp. 318-344
-
-
Nelson, D.1
-
27
-
-
1842771209
-
Regulatory Challenges to European Electricity Liberalisation
-
Fall
-
Newbery, D.M. (2003) 'Regulatory Challenges to European Electricity Liberalisation', Swedish Economic Policy Review, vol. 9, no. 2, Fall, 9-44.
-
(2003)
Swedish Economic Policy Review
, vol.9
, Issue.2
, pp. 9-44
-
-
Newbery, D.M.1
-
28
-
-
0036577622
-
Forecasting Next-Day Electricity Prices by Time Series Models
-
Nogales, F., Contreras, J., Conejo, A. and Espínola, R. (2002) 'Forecasting Next-Day Electricity Prices by Time Series Models,' IEEE Transactions on Power Systems, vol. 17, no. 2, pp. 342-8.
-
(2002)
IEEE Transactions on Power Systems
, vol.17
, Issue.2
, pp. 342-348
-
-
Nogales, F.1
Contreras, J.2
Conejo, A.3
Espínola, R.4
-
29
-
-
77956888124
-
Testing for Unit Root in Time Series Regression
-
Phillips, P. and Perron, P. (1988) 'Testing for Unit Root in Time Series Regression', Biometrika, vol. 75.
-
(1988)
Biometrika
, vol.75
-
-
Phillips, P.1
Perron, P.2
-
30
-
-
0032673708
-
The Long Run Evolution of Prices
-
Pindyck, R. (1999) 'The Long Run Evolution of Prices', Energy Journal, vol. 20, no. 2, pp. 1-27.
-
(1999)
Energy Journal
, vol.20
, Issue.2
, pp. 1-27
-
-
Pindyck, R.1
-
31
-
-
0036320578
-
The Volatility of Prices in the English and Welsh Electricity Pool
-
August
-
Robinson, T. and Baniak, A. (2002) 'The Volatility of Prices in the English and Welsh Electricity Pool,' Applied Economics, vol. 34, no. 12, August.
-
(2002)
Applied Economics
, vol.34
, Issue.12
-
-
Robinson, T.1
Baniak, A.2
-
32
-
-
0034037685
-
Electricity Pool Prices: A Case Study in Non-Linear Time-Series Modelling
-
Robinson, T. (2000) 'Electricity Pool Prices: A Case Study in Non-Linear Time-Series Modelling', Applied Economics, vol. 32, pp. 527-32.
-
(2000)
Applied Economics
, vol.32
, pp. 527-532
-
-
Robinson, T.1
-
34
-
-
0041684871
-
Forecasting Commodity Prices Using ARIMA
-
Weiss, E. (2000) 'Forecasting Commodity Prices Using ARIMA,' Technical Analysis of Stocks and Commodities, vol. 18, no. 1, pp. 18-19.
-
(2000)
Technical Analysis of Stocks and Commodities
, vol.18
, Issue.1
, pp. 18-19
-
-
Weiss, E.1
-
35
-
-
18744390324
-
Transmission of Prices and Price Volatility in Australian Electricity Spot Markets: A Multivariate GARCH Analysis
-
Worthington, A., Kay-Spratley, A. and Higgs, H. (2003) 'Transmission of Prices and Price Volatility in Australian Electricity Spot Markets: A Multivariate GARCH Analysis', Energy Economics. vol. 27, no. 2, pp. 337-50.
-
(2003)
Energy Economics
, vol.27
, Issue.2
, pp. 337-350
-
-
Worthington, A.1
Kay-Spratley, A.2
Higgs, H.3
|