Browsing by Subject "Regime-Switching Model"

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    • Regime-Switching Model on Hourly Electricity Spot Price Dynamics 

      Gyamerah, Samuel Asante; Ngare, Philip (Scientific Research Publishing Inc., 2018)
      A robust time-varying regime-switching model for price dynamics of hourly spot price of electricity on the electricity market is developed. We propose a two-state Markov Regime Switching (MRS) model that gives weight to ...