24-049/III - Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution

• Authors
  Anne Opschoor, Vrije Universiteit Amsterdam; Dewi Peerlings, Vrije Universiteit Amsterdam; Luca Rossini, University of Milan; Andre Lucas, Vrije Universiteit Amsterdam
• Publication date
  July 19, 2024

• Keywords
  multivariate distributions, (fat)-tail heterogeneity, (inverse) Riesz distribution, electricity prices
• JEL
  C1, C22, C53