Measuring long-range dependence in electricity prices

被引：0

作者：

Weron, R ^{[1
]}

机构：

[1] Wroclaw Univ Technol, Hugo Steinhaus Ctr Stochast Methods, PL-50370 Wroclaw, Poland

来源：

EMPIRICAL SCIENCE OF FINANCIAL FLUCTUATIONS: THE ADVENT OF ECONOPHYSICS | 2002年

关键词：

long-range dependence; electricity price; Hurst exponent; mean-reversion;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this feature of electricity returns by means of Hurst R/S analysis, Detrended Fluctuation Analysis and periodogram regression.

引用

页码：110 / 119

页数：10

共 50 条

[31] Long-range dependence in daily stock volatilities
Ray, BK
Tsay, RS
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2000, 18 (02) : 254 - 262
[32] Long-range dependence and approximate Bayesian computation
Andrade, P.
Rifo, L.
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2017, 46 (02) : 1219 - 1237
[33] Estimating long-range dependence: finite sample properties and confidence intervals
Weron, R
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2002, 312 (1-2) : 285 - 299
[34] The long-range dependence behavior of the term structure of interest rates in Japan
Tabak, BM
Cajueiro, DO
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2005, 350 (2-4) : 418 - 426
[35] Generalized Bernoulli process with long-range dependence and fractional binomial distribution
Lee, Jeonghwa
DEPENDENCE MODELING, 2021, 9 (01): : 1 - 12
[36] Synthesis of bidimensional α-stable models with long-range dependence
Pesquet-Popescu, B
Pesquet, JC
SIGNAL PROCESSING, 2002, 82 (12) : 1927 - 1940
[37] MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG-RANGE DEPENDENCE
Bai, Shuyang
Taqqu, Murad S.
JOURNAL OF TIME SERIES ANALYSIS, 2013, 34 (06) : 717 - 743
[38] Scaling limits for random fields with long-range dependence
Kaj, Ingemar
Leskela, Lasse
Norros, Ilkka
Schmidt, Volker
ANNALS OF PROBABILITY, 2007, 35 (02) : 528 - 550
[39] Long-range dependence in a changing Internet traffic mix
Park, C
Hernández-Campos, H
Marron, JS
Smith, FD
COMPUTER NETWORKS, 2005, 48 (03) : 401 - 422
[40] Modeling bivariate long-range dependence with general phase
Kechagias, Stefanos
Pipiras, Vladas
JOURNAL OF TIME SERIES ANALYSIS, 2020, 41 (02) : 268 - 292

← 1 2 3 4 5 →