英文文献：A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching-长记忆和电价转换的矢量自回归电价模型
英文文献作者：Niels Haldrup,Frank S. Nielsen,Morten ?rregaard Nielsen
英文文献摘要：
A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject to occasional congestion periods. For a system of bilat- eral prices non-congestion means that electricity prices are identical whereas congestion makes prices depart. Hence, the joint price dynamics implies switching between essen- tially a univariate price process under non-congestion and a bivariate price process under congestion. At the same time it is an empirical regularity that electricity prices tend to show a high degree of fractional integration, and thus that prices may be fractionally cointegrated. An empirical analysis using Nord Pool data shows that even though the prices strongly co-move under non-congestion, the prices are not, in general, fractional cointegrated in the congestion state.

提出了一个依赖于体制的VAR模型，允许长记忆(分数积分)在每个体制状态以及分数cointegra的可能性。该模型适用于描述电力传输偶尔出现拥塞时的电价动态。在多个电价系统中，不拥塞意味着电价是相同的，而拥塞则使电价分离。因此，联合价格动态意味着在非拥挤情况下的单变量价格过程和拥挤情况下的双变量价格过程之间切换。同时，电价往往表现出高度的分步积分，从而可能出现分步协整，这是一种经验规律。利用Nord Pool数据进行的实证分析表明，尽管在非拥堵状态下价格强烈地协整，但在拥堵状态下，价格通常不是分数协整的。