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Why do electricity prices jump? Empirical evidence from the Nordic electricity market · Study

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ArticleWhy do electricity prices jump? Empirical evidence from the Nordic electricity market

Jörgen Hellström2012

Article2012

Why do electricity prices jump? Empirical evidence from the Nordic electricity market

Jörgen Hellström · Jens Lundgren · Haishan Yu

47 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Stochastic processes and financial applications Energy Load and Power Forecasting

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References

1986Generalized autoregressive conditional heteroskedasticity 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 1988On Jump Processes in the Foreign Exchange and Stock Markets 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns 2000Energy derivatives : pricing and risk management 1997Energy Risk: Valuing and Managing Energy Derivatives 2003Regime jumps in electricity prices 2002Conditional Jump Dynamics in Stock Market Returns

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Year2012

Typearticle

Published2012-07-18

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations47

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.eneco.2012.07.006

openalex_workW2028011241

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