Modeling electricity prices: jump diffusion and regime switching
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.
|Date of creation:||2003|
|Date of revision:|
|Publication status:||Published in Physica A 336 (2004) 39-48|
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- Burnecki, Krzysztof & Weron, Rafal, 2010.
"Simulation of Risk Processes,"
25444, University Library of Munich, Germany.
- Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, EconWPA.
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