The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis

Mikael Bask and Anna Widerberg ()

No 267, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: The aim of this letter is to discuss and illustrate what we call (lambda, sigma-2)analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate new research questions for economic theory. The data set used in an empirical illustration is spot electricity prices from Nord Pool.

Keywords: Smooth Lyapunov Exponents; Stability; Stochastic Dynamic System; Volatility (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2007-10-09
New Economics Papers: this item is included in nep-ecm and nep-ene
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Citations: View citations in EconPapers (2)

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