Modeling electricity prices: jump diffusion and regime switching

Rafał Weron (), Michael Bierbrauer and Stefan Trück
Authors registered in the RePEc Author Service: Stefan Trueck ()

No HSC/03/01, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology

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.

Keywords: Electricity price; Jump diffusion; Regime switching; Seasonality (search for similar items in EconPapers)
JEL-codes: C53 Q40 (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (15) Track citations by RSS feed

Published in Physica A 336 (2004) 39-48

Downloads: (external link)
http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_03_01.pdf Revised version, 2003 (application/pdf)
http://dx.doi.org/doi:10.1016/j.physa.2004.01.008 Final printed version, 2004 (text/html)
Yes

Related works:
Journal Article: Modeling electricity prices: jump diffusion and regime switching (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wuu:wpaper:hsc0301

Access Statistics for this paper

More papers in HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology
Contact information at EDIRC.
Series data maintained by Rafal Weron ().