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Publication Detailed Description
Journal Title
Expert Systems with Applications
Year (definitive publication)
2014
Language
English
Country
United Kingdom
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Abstract
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.
Acknowledgements
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Keywords
Hidden Markov models (HMMs); Clustering; Time series; Energy markets
Fields of Science and Technology Classification
- Computer and Information Sciences - Natural Sciences
- Electrical Engineering, Electronic Engineering, Information Engineering - Engineering and Technology
- Economics and Business - Social Sciences
