Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy Economics 32 (2010) 5, pp. 1034-1043
In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process. In this way, the model allows for mean-reversion and possible jumps. All parameters are modulated by a...
