Wholesale electricity price volatility and price bounds: a market comparison
Due to high volatility and frequent price spikes in wholesale electricity market prices, market regulators often impose price bounds on auction and final market prices. This paper applies a model-free intraday-range measure and ARMA-EGARCH(1,1) models to wholesale electricity price data collected fr...
| Autor principal: | |
|---|---|
| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2018
|
| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10362/22255 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/22255 |