A self‐exciting modeling framework for forward prices in power markets
نویسندگان
چکیده
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, Hawkes exponential kernel, respectively. The models proposed exhibit jumps clustering features. Models of this kind have been already the spot but main purpose present work is to performances such in describing dynamics. adopt a Heath–Jarrow–Morton approach order capture whole curve evolution. By examining daily data French market, we perform goodness-of-fit test our conclusions about adequacy these prices
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ژورنال
عنوان ژورنال: Applied Stochastic Models in Business and Industry
سال: 2021
ISSN: ['1526-4025', '1524-1904']
DOI: https://doi.org/10.1002/asmb.2645