The Nature of Power Spikes: A Regime-Switch Approach
By Cyriel de Jong. 2005
172 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Electrical and Electronic Engineering
View Paper: https://www.semanticscholar.org/paper/2869b7f73123267c3d2ac8bbb2b5737e41b00bb1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Rafal Weron
- Stefan Trück
- Shan Chen
- Joanna Janczura
- Svetlozar T. Rachev
- Christian Menn
- Michael Bierbrauer
- Rodney Wolff
In Electrical and Electronic Engineering
- Rafal Weron
- Stefan Trück
- Joanna Janczura
- Rodney Wolff
- Michael Bierbrauer
- Svetlozar T. Rachev
- Christian Menn
- Shan Chen
Citations in the corpus
- Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem (2012, methodology): “RS specifications for modeling stochastic commodity prices are studied in Deng (2000) and de Jong (2005) for electricity prices and in Chen and Forsyth (2008) for natural gas prices.”
- Spot and Derivative Pricing in the EEX Power Market (2007, methodology): “…1997; Weron et al., 2004a), constant piece-wise functions (Pindyck, 1999; Knittel and Roberts, 2001; Huisman and De Jong, 2003; Haldrup and Nielsen, 2004), a combination of both methods (Lucia and Schwartz, 2002; De Jong, 2005; Kosater and Mosler, 2006) have been suggested in the literature.”
- Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (2013, methodology): “…Jabłónska et al., 2011; Nomikos and Soldatos, 2010; Seifert and Uhrig-Homburg, 2007; Weron, 2008) or a regimeswitching model (Becker et al., 2007; De Jong, 2006; Higgs andWorthington, 2008; Hirsch, 2009; Huisman and Mahieu, 2003; Janczura and Weron, 2010, 2012; Keles et al., 2012; Mari, 2008;…”
- Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “The difference is significant at the 5% level (according to the Diebold & Mariano, 1995, test; see Section 4.5.2) for horizons of four days or more. On the other hand, the restricted VAR model is better than the benchmark in the short-term, but worse in the mid-term. In contrast to the relatively lo”