metal price series is investigated, as well as time-varying volatility. The results demonstrate that allowing for jumps and … prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes … time-varying volatility provides statistically important improvements in the modelling or prices, relative to GBM. These …

is that the spot price process of electricity is still puzzling researchers and practitioners. In this paper, we propose … an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different … correlation structures of electricity price spikes. Furthermore, all model parameters can easily be estimated with help of …