Modeling electricity spot prices: Regime switching models with price-capped spike distributions
AbstractWe calibrate Markov regime-switching (MRS) models to spot (log-)prices from two major power markets. We show that while the price-capped (or truncated) spike distributions do not give any advantage over the standard specification in case of moderately spiky markets (such as NEPOOL), they improve the fit and yield significantly different results in case of extremely spiky markets (such as the Australian NSW market).
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 23296.
Date of creation: 14 Jun 2010
Date of revision:
Electricity spot price; Markov regime-switching model; Price spike; Price cap; Truncated distribution;
Find related papers by JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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