The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process
Julien Chevallier and
Stéphane Goutte ()
No 2014-285, Working Papers from Department of Research, Ipag Business School
This article analyzes the interactions between the electricity and CO2 (carbon) markets. In particular, we describe the dynamics of the fuel-switching price (from coal to gas) when taking into account carbon costs. Several stochastic processes are con
Keywords: CO2; Fuel-Switching; Lévy Jump process; Mean-reversion; Normal Inverse Gaussian; Variance Gamma; Model fit; Heavy tails; Goodness-of-fit testing. (search for similar items in EconPapers)
JEL-codes: C15 C53 Q40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-rmg
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