Modeling and forecasting multivariate electricity price spikes

Hans Manner; Dennis Tuerk; Michael Eichler

doi:10.1016/j.eneco.2016.10.006

Modeling and forecasting multivariate electricity price spikes

Hans Manner^*, Dennis Tuerk, Michael Eichler

^*Corresponding author for this work

QE Econometrics

Research output: Contribution to journal › Article › Academic › peer-review

14 Citations (Web of Science)

Original language	English
Pages (from-to)	255-265
Number of pages	11
Journal	Energy Economics
Volume	60
DOIs	https://doi.org/10.1016/j.eneco.2016.10.006
Publication status	Published - Nov 2016

Keywords

Electricity price spikes
Multivariate binary choice models
Copulas
Vector autoregression

Access to Document

10.1016/j.eneco.2016.10.006

Cite this

@article{7309fd6ac6564c33966764b4dc9c559c,

title = "Modeling and forecasting multivariate electricity price spikes",

keywords = "Electricity price spikes, Multivariate binary choice models, Copulas, Vector autoregression",

author = "Hans Manner and Dennis Tuerk and Michael Eichler",

note = "No data used",

year = "2016",

month = nov,

doi = "10.1016/j.eneco.2016.10.006",

language = "English",

volume = "60",

pages = "255--265",

journal = "Energy Economics",

issn = "0140-9883",

publisher = "Elsevier Science",

}

TY - JOUR

T1 - Modeling and forecasting multivariate electricity price spikes

AU - Manner, Hans

AU - Tuerk, Dennis

AU - Eichler, Michael

N1 - No data used

PY - 2016/11

Y1 - 2016/11

KW - Electricity price spikes

KW - Multivariate binary choice models

KW - Copulas

KW - Vector autoregression

U2 - 10.1016/j.eneco.2016.10.006

DO - 10.1016/j.eneco.2016.10.006

M3 - Article

VL - 60

SP - 255

EP - 265

JO - Energy Economics

JF - Energy Economics

SN - 0140-9883

ER -