3 datasets found

Under real-time pricing, a network operator sets the price level for a period according to a predefined scheme which depends on the state of demand and costs, and announces this...

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional...

This paper introduces the smooth transition logit (STL) model that is designed to detect and model situations in which there is structural change in the behaviour underlying the...