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.
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页码：110 / 119
页数：10
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