Markov-Switching Models for the Prices of Electric Energy on the Energy Stock Market in Poland

• Autorzy: Aneta Włodarczyk , Marcin Zawada
• Języki publikacji: EN

Abstrakty

EN

In this paper we present theoretically different specifications of Markovswitching models, which take into consideration the autoregressive dependencies both in the conditional mean and in the conditional variance of process. In the empirical section of this paper the Markov-switching models for daily prices of electric energy in Poland are estimated and tested. (fragment of text)

Słowa kluczowe

EN

Electric power; Energy prices; Switching model; Markov models

PL

Energia elektryczna; Ceny energii; Model przełącznikowy; Modele Markowa

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2008
• Tom: 8
• Strony: 171--178

Twórcy

autor

Aneta Włodarczyk

• Częstochowa University of Technology, student

autor

Marcin Zawada

• Częstochowa University of Technology

Bibliografia

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• Frömmel, M. (2004), Modelling Exchange Rate Volatility in the Run-up to EMU using a Markov Switching GARCH Model, Universität Hannover, Discussion Paper No. 306.
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• Klassen, F. (2002), Improving GARCH Volatility Forecasts with Regime-Switching GARCH, w Hamilton J. D., Raj B.(red.), Advances in Markov-Switching Models, Physica-Verlag, Heidelberg.
• Stawicki, J. (2004), Wykorzystanie łańcuchów Markowa w analizie rynku kapitałowego, Wydawnictwo UMK, Toruń.