Estimation of stable CARMA models with an application to electricity spot prices
نویسندگان
چکیده
منابع مشابه
Estimation of stable CARMA models with an application to electricity spot prices
We discuss theoretical properties and estimation of continuous-time ARMA (CARMA) processes, which are driven by a stable Lévy process. Such processes are very useful in a continuous-time linear stationary set-up: they have a similar structure as the widely used ARMA models, and provide all advantages of a continuous-time model. As an application we consider data from a deregulated electricity m...
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In recent years, electricity markets throughout the world have undergone massive changes due to deregulations. Extreme price volatility has forced producers and wholesale consumers to hedge not only against volume risk but also against price movements. Consequently, statistical modeling and estimation of electricity prices are an important issue for the risk management of electricity markets. W...
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We estimate conditional and unconditional high quantiles for electricity spot prices based on a linear model with stable innovations. This approach captures the impressive peaks in such data and, as a four-parametric family captures also the assymmetry in the innovations. Moreover, it allows for explicit formulas of quantiles, which can then be calculated recursively from day to day. We also pr...
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The deregulation of electricity markets has led to higher uncertainty in electricity prices. Electricity, as a commodity, differs from other commodities and financial assets as it is not storable. Among the consequences of this non-storability restriction, the most conspicuous one is the presence of large spikes in electricity prices. Another outcome of the non-storability of electricity is tha...
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ژورنال
عنوان ژورنال: Statistical Modelling
سال: 2011
ISSN: 1471-082X,1477-0342
DOI: 10.1177/1471082x1001100504