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Modeling electricity prices: jump diffusion and regime switching
Rafał Weron Michael Bierbrauer and
Authors registered in the RePEc Author Service: ()
HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Technology
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)
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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)
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Persistent link: http://EconPapers.repec.org/RePEc:wuu:wpaper:hsc0301
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