Abstract:This paper revisits the conditional mean and volatility density characteristics of the system price settled by the Nordic/Baltic spot electric power market . The main aim of this paper is an analysis of the nonlinear impulse-response features (shocks) in the nonstorable commodity market. Initially, we extract all deterministic seasonality and nonstationary trend and scale features from the series. A strictly stationary model reports serial correlation for the mean, and clustering, asymmetry and level effects f… Show more
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