Zita Marossy

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  • Zita Marossy
  • 2010 7th International Conference on the European…
  • 2010
Spot electricity prices are found to be heteroscedastic in the literature. In this paper I analyze the sources of heteroscedasticity. The heteroscedasticity is measured with the autocorrelation function of the squared residuals. I will show that the heteroscedasticity effect consists of a deterministic and a stochastic part. I decompose the(More)
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