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:	2004
Authors:	Weron, R ; Bierbrauer, M ; Trück, S
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 336.2004, 1, p. 39-48
Publisher:	Elsevier
Subject:	Electricity price \| Jump diffusion \| Regime switching \| Seasonality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011064346