Regime-switching characterization of electricity prices dynamics

2006 ◽  
Vol 371 (2) ◽  
pp. 552-564 ◽  
Author(s):  
Carlo Mari
Keyword(s):  
Regime Switching ◽  
Electricity Prices

A Regime Switching Long Memory Model for Electricity Prices

2006 ◽  
Author(s):  
Niels Haldrup ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Memory Model ◽  
Electricity Prices

Regime-Switching of Electricity Prices: Evidence from the PJM Market

2012 ◽  
Author(s):  
Yuewen Xiao ◽  
David B. Colwell ◽  
Ramaprasad Bhar
Keyword(s):  
Regime Switching ◽  
Electricity Prices

scholarly journals Combining Losing Games into a Winning Game

2019 ◽  
Vol 18 (01) ◽  
pp. 1950003 ◽  
Author(s):  
Bruno Rémillard ◽  
Jean Vaillancourt
Keyword(s):  
Asymptotic Behavior ◽  
Random Walk ◽  
Random Walks ◽  
Random Environment ◽  
Regime Switching ◽  
Random Environments ◽  
Full Characterization ◽  
Parrondo’S Paradox ◽  
Random Subspaces

Parrondo’s paradox is extended to regime switching random walks in random environments. The paradoxical behavior of the resulting random walk is explained by the effect of the random environment. Full characterization of the asymptotic behavior is achieved in terms of the dimensions of some random subspaces occurring in Oseledec’s theorem. The regime switching mechanism gives our models a richer and more complex asymptotic behavior than the simple random walks in random environments appearing in the literature, in terms of transience and recurrence.

scholarly journals Heavy-tails and regime-switching in electricity prices

2008 ◽  
Vol 69 (3) ◽  
pp. 457-473 ◽  
Author(s):  
Rafał Weron
Keyword(s):  
Regime Switching ◽  
Heavy Tails ◽  
Electricity Prices

scholarly journals Modeling Electricity Prices with Regime Switching Models

2004 ◽  
pp. 859-867 ◽  
Author(s):  
Michael Bierbrauer ◽  
Stefan Trück ◽  
Rafał Weron
Keyword(s):  
Regime Switching ◽  
Electricity Prices ◽  
Regime Switching Models ◽  
Switching Models
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