Sparse time-varying parameter VECMs with an application to modeling electricity prices
Niko Hauzenberger; Michael Pfarrhofer; Luca Rossini
- Published
- Publisher
- Elsevier BV
- Journal / collection
- International Journal of Forecasting
- Research area
- Energy & infrastructure
- Source type
- Journal article
- DOI
- 10.1016/j.ijforecast.2024.09.001
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Cite this source
Niko Hauzenberger; Michael Pfarrhofer; Luca Rossini. Sparse time-varying parameter VECMs with an application to modeling electricity prices. International Journal of Forecasting. 2025-01. https://doi.org/10.1016/j.ijforecast.2024.09.001