Gregorio Serna

University of Castilla, La Mancha

Plaza Universidad, 1

02071 Albacete, Ciudad Real 13071

Spain

  • University of Castilla, La Mancha

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Modelling Higher Moments of Electricity Prices

Number of pages: 32 Posted: 02 Jan 2013
Gregorio Serna and Pablo Villaplana
University of Castilla, La Mancha and Comisión Nacional de Energía
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Abstract:

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Spot electricity prices, GARCH models, conditional volatility, conditional skewness, Gram-Charlier expansions