The Stability and Volatility of Electricity Prices: An Illustration of (λ, σ²) Analysis

dc.contributor.author	Bask, Mikael
dc.contributor.author	Widerberg, Anna
dc.date.accessioned	2007-10-09T11:17:22Z
dc.date.available	2007-10-09T11:17:22Z
dc.date.issued	2007-10-09T11:17:22Z
dc.identifier.issn	1403-2465
dc.identifier.uri	http://hdl.handle.net/2077/7389
dc.description.abstract	The aim of this letter is to discuss and illustrate what we call (λ, σ²)- analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate new research questions for economic theory. The data set used in an empirical illustration is spot electricity prices from Nord Pool.	en
dc.language.iso	eng	en
dc.relation.ispartofseries	Working Papers in Economics	en
dc.relation.ispartofseries	267	en
dc.subject	Smooth Lyapunov Exponents	en
dc.subject	Stability	en
dc.subject	Stochastic Dynamic System	en
dc.subject	Volatility	en
dc.title	The Stability and Volatility of Electricity Prices: An Illustration of (λ, σ²) Analysis	en
dc.type	Text	en
dc.type.svep	report	en
dc.gup.origin	Göteborg University, School of Buisness, Economics and Law	en
dc.gup.department	Department of Economics	en