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).

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Year of publication:	2010-06-14
Authors:	Janczura, Joanna ; Weron, Rafal
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Electricity spot price \| Markov regime-switching model \| Price spike \| Price cap \| Truncated distribution

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C52 - Model Evaluation and Testing ; C24 - Truncated and Censored Models ; Q4 - Energy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008574282