Modeling electricity prices: jump diffusion and regime switching

In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic power exchange and discuss the pros and cons of each one.

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Year of publication:	2003
Authors:	Weron, Rafal ; Bierbrauer, Michael ; Trück, Stefan
Institutions:	Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Subject:	Electricity price \| Jump diffusion \| Regime switching \| Seasonality

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Extent:	application/pdf text/html
Series:	HSC Research Reports.
Type of publication:	Book / Working Paper
Notes:	Published in Physica A 336 (2004) 39-48 Number HSC/03/01 14 pages
Other identifiers:	10.1016/j.physa.2004.01.008 [DOI]
Classification:	C53 - Forecasting and Other Model Applications ; Q40 - Energy. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009003610