Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions

Author:

Panagiotelis Anastasios,Smith Michael

Publisher

Elsevier BV

Subject

Business and International Management

Reference34 articles.

1. Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t distribution;Azzalini;Journal of the Royal Statistical Society, Series B,2003

2. On a new multivariate two-sample test;Baringhaus;Journal of Multivariate Analysis,2004

3. A diffusion model for electricity prices;Barlow;Mathematical Finance,2002

4. Estimating high quantiles for electricity prices by stable linear models;Bernhardt;Journal of Energy Markets,2008

5. Extreme value theory and extremely large electricity price changes;Bystrom;International Review of Economics and Finance,2005

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