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A Penalty Scheme for Reducing Electricity Price Volatility

โœ Scribed by Yi Ding; Peng Wang; Goel, L.; Luonan Chen; Poh Chiang Loh


Book ID
118067812
Publisher
IEEE
Year
2010
Tongue
English
Weight
554 KB
Volume
25
Category
Article
ISSN
0885-8950

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## Abstract Modelling of nonโ€stationary time series using regression methodology is challenging. The wavelet transforms can be used to model nonโ€stationary time series having volatility clustering. The traditional risk measure is variance and now a days Value at Risk (VaR) is widely used in finance