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Modeling electricity prices with regime switching models

  • Michael Bierbrauer

    (University of Karlsruhe)

  • Stefan Trueck

    (University of Karlsruhe)

  • Rafal Weron

    (Hugo Steinhaus Center)

We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market prices.

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File URL: http://128.118.178.162/eps/em/papers/0502/0502005.pdf
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Paper provided by EconWPA in its series Econometrics with number 0502005.

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Length: 8 pages
Date of creation: 07 Feb 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0502005
Note: Type of Document - pdf; pages: 8. Appeared in: Lecture Notes in Computer Science 3039, pp. 859-867.
Contact details of provider: Web page: http://128.118.178.162

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  1. repec:ner:tilbur:urn:nbn:nl:ui:12-3131736 is not listed on IDEAS
  2. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  3. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March.
  4. Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
  5. Simonsen, Ingve, 2003. "Measuring anti-correlations in the nordic electricity spot market by wavelets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 597-606.
  6. Ingve Simonsen, 2001. "Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets," Papers cond-mat/0108033, arXiv.org, revised Apr 2003.
  7. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, EconWPA.
  8. Huisman, Ronald & Mahieu, Ronald, 2003. "Regime jumps in electricity prices," Energy Economics, Elsevier, vol. 25(5), pages 425-434, September.
  9. Rafal Weron & Michael Bierbrauer & Stefan Trück, 2003. "Modeling electricity prices: jump diffusion and regime switching," HSC Research Reports HSC/03/01, Hugo Steinhaus Center, Wroclaw University of Technology.
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