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Modeling electricity prices: jump diffusion and regime switching

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Author Info

  • Rafal Weron
  • Michael Bierbrauer
  • Stefan Trück

Abstract

In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic power exchange and discuss the pros and cons of each one.

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File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_03_01.pdf
File Function: Revised version, 2003
Download Restriction: no

File URL: http://dx.doi.org/doi:10.1016/j.physa.2004.01.008
File Function: Final printed version, 2004
Download Restriction: Yes

Bibliographic Info

Paper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/03/01.

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Length: 14 pages
Date of creation: 2003
Date of revision:
Publication status: Published in Physica A 336 (2004) 39-48
Handle: RePEc:wuu:wpaper:hsc0301

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Related research

Keywords: Electricity price; Jump diffusion; Regime switching; Seasonality;

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References

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  1. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, EconWPA.
  2. Burnecki, Krzysztof & Weron, Rafal, 2010. "Simulation of Risk Processes," MPRA Paper 25444, University Library of Munich, Germany.
    • Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004. "Simulation of risk processes," Papers 2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
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