The Forecasting Performance of a Finite Mixture Regime-Switching Model for Daily Electricity Prices

Author:

Chen Dipeng1,Bunn Derek1

Affiliation:

1. London Business School; Regent's Park London UK

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Reference53 articles.

1. Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts;Albert;Journal of Business and Economic Statistics,1993

2. Estimating the transition between two intersecting straight lines;Bacon;Biometrika,1971

3. A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modelling and derivatives pricing;Benth;Applied Mathematical Finance,2007

4. Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets;Bessembinder;The Journal of Finance,2002

5. Modeling electricity prices with regime switching models;Bierbrauer;Lecture Notes in Computer Science,2004

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