Modeling electricity spot prices: Regime switching models with price-capped spike distributions

We calibrate Markov regime-switching (MRS) models to spot (log-)prices from two major power markets. We show that while the price-capped (or truncated) spike distributions do not give any advantage over the standard specification in case of moderately spiky markets (such as NEPOOL), they improve the fit and yield significantly different results in case of extremely spiky markets (such as the Australian NSW market).

MoreLess

Year of publication:	2010-06-14
Authors:	Janczura, Joanna ; Weron, Rafal

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Janczura, Joanna and Weron, Rafal (2010): Modeling electricity spot prices: Regime switching models with price-capped spike distributions. Forthcoming in: MEPS'10 Proceedings
Classification:	C52 - Model Evaluation and Testing ; C24 - Truncated and Censored Models ; Q4 - Energy
Source:	BASE

Persistent link: https://www.econbiz.de/10015221996