Modeling electricity prices with regime switching models
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.
|Date of creation:||07 Feb 2005|
|Date of revision:|
|Note:||Type of Document - pdf; pages: 8. Appeared in: Lecture Notes in Computer Science 3039, pp. 859-867.|
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HSC Research Reports
HSC/03/01, Hugo Steinhaus Center, Wroclaw University of Technology.
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