Mayer, Klaus; Schmid, Thomas; Weber, Florian - Lehrstuhl für Finanzmanagement und Kapitalmärkte - 2011
Starting with the liberalization of electricity trading, this market grew rapidly overthe last decade. However, while … is that the spotprice process of electricity is still puzzling researchers and practitioners. In this paper,we propose an … structures of electricity price spikes. Furthermore, all modelparameters can easily be estimated with help of historical data …