Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modelling energy spot prices by Lévy semistationary processes

Contents:

Author Info

  • Ole E. Barndorff–Nielsen

    ()
    (Thiele Center, Department of Mathematical Sciences and CREATES)

  • Fred Espen Benth

    ()
    (Centre of Mathematics for Applications, University of Oslo and Faculty of Economics University of Agder)

  • Almut E. D. Veraart

    ()
    (CREATES, School of Economics and Management Aarhus University)

Abstract

This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how they are able to capture many of the stylised facts observed in energy markets. Furthermore, we derive forward prices based on our spot price model. As it turns out, many of the classical spot models can be embedded into our novel modelling framework.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: ftp://ftp.econ.au.dk/creates/rp/10/rp10_18.pdf
Download Restriction: no

Bibliographic Info

Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2010-18.

as in new window
Length: 28
Date of creation: 27 Apr 2010
Date of revision:
Handle: RePEc:aah:create:2010-18

Contact details of provider:
Web page: http://www.econ.au.dk/afn/

Related research

Keywords: Energy markets; forward price; Lévy semistationary process; stochastic integration; spot price;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:aah:create:2010-18. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.