Modeling and forecasting multivariate electricity price spikes

Hans Manner, Dennis Tuerk, Michael Eichler

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)255-265
Number of pages11
JournalEnergy Economics
Volume60
DOIs
Publication statusPublished - Nov 2016

Keywords

  • Electricity price spikes
  • Multivariate binary choice models
  • Copulas
  • Vector autoregression

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