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Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility

Heydari, S; Siddiqui, A; (2010) Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility. Energy Economics , 32 (3) 709 - 725. 10.1016/j.eneco.2009.10.001.

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Type: Article
Title: Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility
DOI: 10.1016/j.eneco.2009.10.001
Keywords: Energy spot prices, Hamilton filter, Markov regime switching, Stochastic volatility, Variogram
UCL classification: UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Statistical Science
URI: http://discovery.ucl.ac.uk/id/eprint/1324135
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