We extend the arithmetic multi-factor electricity spot price model proposed by Benth, Kallsen & Meyer-Brandis by adding … further derive pricing formulas for electricity forwards under future information and investigate the associated information …

regional electricity markets in Australia, which are shown to be highly correlated in a previous study (Higgs, 2009). Bayesian …To model the price and price volatilities of the Australian wholesale spot electricity markets, the univariate … markets are modelled using multivariate GARCH models. Stochastic volatility (SV) models, as flexible alternatives to GARCH …