Modeling electricity prices with regime switching models

Michael Bierbrauer, Stefan Trueck () and Rafał Weron ()
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Michael Bierbrauer: University of Karlsruhe

Econometrics from EconWPA

Abstract: 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.

Keywords: Power market; Electricity price modeling; Regime switching model (search for similar items in EconPapers)
JEL-codes: C51 L94 Q40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-ene and nep-ets
Date: 2005-02-07
Note: Type of Document - pdf; pages: 8. Appeared in: Lecture Notes in Computer Science 3039, pp. 859-867.
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpem:0502005

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