Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components
Filippos Ioannidis, Kyriaki Kosmidou, Christos S. Savva, Panayiotis Theodossiou
Topics & Concepts
SkewnessEconometricsMean reversionKurtosisElectricityEconomicsAutoregressive conditional heteroskedasticityElectricity marketSeasonalityFinancial economicsStatisticsMathematicsVolatility (finance)EngineeringElectrical engineeringElectric Power System OptimizationEnergy Load and Power ForecastingMarket Dynamics and Volatility