Modelling energy spot prices by Lévy semistationary processes

Ole E. Barndorff–Nielsen (), Fred Espen Benth () and Almut Veraart
Additional contact information
Ole E. Barndorff–Nielsen: Thiele Center, Department of Mathematical Sciences and CREATES, Postal: Ny Munkegade 118, 8000 Aarhus C, Denmark
Fred Espen Benth: Centre of Mathematics for Applications, University of Oslo and Faculty of Economics University of Agder, Postal: P.O. Box 1053, Blindern, N–0316 Oslo, Norway
Authors registered in the RePEc Author Service: Ole E. Barndorff-Nielsen

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how they are able to capture many of the stylised facts observed in energy markets. Furthermore, we derive forward prices based on our spot price model. As it turns out, many of the classical spot models can be embedded into our novel modelling framework.

Keywords: Energy markets; forward price; Lévy semistationary process; stochastic integration; spot price (search for similar items in EconPapers)
JEL-codes: C0 C1 C5 G1 (search for similar items in EconPapers)
Pages: 28
Date: 2010-04-27
New Economics Papers: this item is included in nep-ecm, nep-ene, nep-mic and nep-ore
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://repec.econ.au.dk/repec/creates/rp/10/rp10_18.pdf (application/pdf)

Related works:
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: https://EconPapers.repec.org/RePEc:aah:create:2010-18

Access Statistics for this paper

More papers in CREATES Research Papers from Department of Economics and Business Economics, Aarhus University
Bibliographic data for series maintained by ().