English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Título Revista
Expert Systems with Applications
Ano (publicação definitiva)
2014
Língua
Inglês
País
Reino Unido
Mais Informação
Web of Science®
Scopus
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Abstract/Resumo
This paper studies the synchronization of energy markets using an extended hidden Markov model that captures between- and within-heterogeneity in time series by defining clusters and hidden states, respectively. The model is applied to U.S. data in the period from 1999 to 2012. While oil and natural gas returns are well portrayed by two volatility states, electricity markets need three additional states: two transitory and one to capture a period of abnormally high volatility. Although some states are common to both clusters, results favor the segmentation of energy markets as they are not in the same state at the same time.
Agradecimentos/Acknowledgements
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Palavras-chave
Hidden Markov models (HMMs); Clustering; Time series; Energy markets
Classificação Fields of Science and Technology
- Ciências da Computação e da Informação - Ciências Naturais
- Engenharia Eletrotécnica, Eletrónica e Informática - Engenharia e Tecnologia
- Economia e Gestão - Ciências Sociais
