Rambharat, B. Ricky; Brockwell, Anthony E.; Seppi, Duane J. - In: Journal of the Royal Statistical Society Series C 54 (2005) 2, pp. 287-299
We introduce a discrete time model for electricity prices which accounts for both transitory spikes and temperature effects. The model allows for different rates of mean reversion: one for weather events, one around price jumps and another for the remainder of the process. We estimate the model...