A threshold autoregressive model for wholesale electricity prices

By B. R. Rambharat, Anthony Brockwell, Duane J. Seppi. 2003

60 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/eaee29b6e8f8879badb90d828f9e5a26b5149be7

Citations in the corpus

• Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006, unknown): “Recently Rambharat et al. (2005) introduced a SETAR-type model with an exogenous variable (temperature recorded at the same time as the maximum price of the day) and a gamma distributed jump component.”