Regime-Switching Models for Electricity Spot Prices : Introducing Heteroskedastic Base Regime Dynamics and Shifted Spike Distributions

We calibrate Markov regime-switching (MRS) models to mean daily spot prices from the EEX market. Our empirical study shows that (i) models with shifted spike regime distributions lead to more realistic models of electricity spot prices and that (ii) introducing heteroskedasticity in the base regime leads to better spike identification and goodness-of-fit than in MRS models with the standard mean-reverting, constant volatility dynamics

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Year of publication:	2009
Authors:	Janczura, Joanna ; Weron, Rafal
Publisher:	[S.l.] : SSRN
Subject:	Strompreis \| Electricity price \| Markov-Kette \| Markov chain \| Spotmarkt \| Spot market \| Heteroskedastizität \| Heteroscedasticity \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: IEEE Conference Proceedings, 6th International Conference on the European Energy Market, May 2009 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 30, 2009 erstellt
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; q47 ; L94 - Electric Utilities
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014200680