Modeling electricity prices with regime switching models

We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market prices.

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Year of publication:	2005-02-07
Authors:	Bierbrauer, Michael ; Trueck, Stefan ; Weron, Rafal
Institutions:	EconWPA
Subject:	Power market \| Electricity price modeling \| Regime switching model

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Extent:	application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 8. Appeared in: Lecture Notes in Computer Science 3039, pp. 859-867. 8 pages
Classification:	C51 - Model Construction and Estimation ; L94 - Electric Utilities ; Q40 - Energy. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119074