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Research Papers in Economics
Preprint . 2003
Full-Text: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_03_01.pdf
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Physica A Statistical Mechanics and its Applications
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Physica A Statistical Mechanics and its Applications
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Modeling electricity prices: jump diffusion and regime switching

descriptionPublicationkeyboard_double_arrow_right Article , Journal , Preprint 01 May 2004Publisher:Elsevier BVJournal:Physica A: Statistical Mechanics and its Applications, volume 336, pages 39-48 (issn: 0378-4371, Copyright policy )
Authors: Rafal Weron; Michael Bierbrauer; Stefan Trück;

doi: 10.1016/j.physa.2004.01.008

Modeling electricity prices: jump diffusion and regime switching

Abstract

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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Keywords

Electricity price; Jump diffusion; Regime switching; Seasonality;, jel: jel:Q40, jel: jel:C53

  • BIP!
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    citations
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 184
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 1%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 1%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
184
Top 1%
Top 1%
Top 10%
bronze
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