Heavy tails and electricity prices
Download full text from publisher
References listed on IDEAS
- Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron, 2005.
"Modeling catastrophe claims with left-truncated severity distributions (extended version),"
HSC Research Reports
HSC/05/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal, 2005. "Modelling catastrophe claims with left-truncated severity distributions (extended version)," MPRA Paper 10423, University Library of Munich, Germany.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Sandro Sapio, 2012.
"Modeling the distribution of day-ahead electricity returns: a comparison,"
Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
- Sandro Sapio, 2009. "Modelling the distribution of day-ahead electricity returns: a comparison," LEM Papers Series 2009/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011.
"Statistical properties and economic implications of jump-diffusion processes with shot-noise effects,"
European Journal of Operational Research,
Elsevier, vol. 214(3), pages 656-664, November.
- Moreno, M. & Serrano, P. & Stute, Winfried, 2008. "Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects," DEE - Working Papers. Business Economics. WB wb084912, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2013.
"Evaluation of different hedging strategies for commodity price risks of industrial cogeneration plants,"
Elsevier, vol. 59(C), pages 143-160.
- Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2012. "Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants," FCN Working Papers 2/2012, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN), revised Mar 2013.
- repec:wsi:ijtafx:v:11:y:2008:i:05:n:s0219024908004907 is not listed on IDEAS
- Weron, Rafal & Misiorek, Adam, 2007. "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?," MPRA Paper 2292, University Library of Munich, Germany, revised Oct 2007.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
- Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
More about this item
KeywordsHeavy-tailed distribution; Electricity spot price; Seasonality; Volatility; Price spike;
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wuu:wpaper:hsc0502. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rafal Weron). General contact details of provider: http://edirc.repec.org/data/hspwrpl.html .