Kluppelberg, Claudia; Meyer-Brandis, Thilo; Schmidt, Andrea - In: Quantitative Finance 10 (2010) 9, pp. 963-974
Sums of Levy-driven Ornstein-Uhlenbeck processes are appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we...