Modeling electricity prices: jump diffusion and regime switching

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

Physica A: Statistical Mechanics and its Applications, 2004, vol. 336, issue 1, 39-48

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)
Date: 2004
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Citations: View citations in EconPapers (101)

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Working Paper: Modeling electricity prices: jump diffusion and regime switching (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:336:y:2004:i:1:p:39-48

DOI: 10.1016/j.physa.2004.01.008

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