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

dc.contributor.authorBask, Mikael
dc.contributor.authorWiderberg, Anna
dc.date.accessioned2007-10-09T11:17:22Z
dc.date.available2007-10-09T11:17:22Z
dc.date.issued2007-10-09T11:17:22Z
dc.description.abstractThe 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.gup.departmentDepartment of Economicsen
dc.gup.originGöteborg University, School of Buisness, Economics and Lawen
dc.identifier.issn1403-2465
dc.identifier.urihttp://hdl.handle.net/2077/7389
dc.language.isoengen
dc.relation.ispartofseriesWorking Papers in Economicsen
dc.relation.ispartofseries267en
dc.subjectSmooth Lyapunov Exponentsen
dc.subjectStabilityen
dc.subjectStochastic Dynamic Systemen
dc.subjectVolatilityen
dc.titleThe Stability and Volatility of Electricity Prices: An Illustration of (λ, σ²) Analysisen
dc.typeTexten
dc.type.svepreporten

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