Regime jumps in electricity prices

Author:

Huisman Ronald,Mahieu Ronald

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference5 articles.

1. Energy Derivatives: Pricing and Risk Management;Clewlow,2000

2. A new approach to the economic analysis of nonstationary time series and the business cycle;Hamilton;Econometrica,1989

3. Forecasting, Structural Time Series and the Kalman Filter;Harvey,1989

4. Electricity prices and power derivatives: evidence from the Nordic power exchange;Lucia;Rev. Derivatives Res.,2002

5. Energy Risk: Valuing and Managing Energy Derivatives;Pilipović,1998

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