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Markov switching of the electricity supply curve and power prices dynamics

✍ Scribed by Carlo Mari; Lucianna Cananà

Book ID: 113849316
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 477 KB
Volume: 391
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2011.11.016

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## Abstract This paper uses Markov switching models to capture volatility dynamics in exchange rates and to evaluate their forecasting ability. We identify that increased volatilities in four euro‐based exchange rates are due to underlying structural changes. Also, we find that currencies are close