منابع مشابه
Modelling Spikes in Electricity
During periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes, therefore, is important for risk management. This paper builds a time-varying-probability Markov-switching model of Queensland electricity prices, aimed particularly at for...
متن کاملNCER Working Paper Series Forecasting Spikes in Electricity Prices
In many electricity markets, retailers purchase electricity at an unregulated spot price and sell to consumers at a heavily regulated price. Consequently the occurrence of extreme movements in the spot price represents a major source of risk to retailers and the accurate forecasting of these extreme events or price spikes is an important aspect of effective risk management. Traditional approach...
متن کاملSpikes and Memory in (nord Pool) Electricity Price Spot Prices
www.stat.unipd.it/fare-ricerca/seminari DIPARTIMENTO DI SCIENZE STATISTICHE UNIVERSITÀ DEGLI STUDI DI PADOVA 2 SPIKES AND MEMORY IN (NORD POOL) ELECTRICITY PRICE SPOT PRICES TOMMASO PROIETTI FULL PROFESSOR OF ECONOMIC STATISTICS DEPARTMENT OF ECONOMICS AND FINANCE UNIVERSITY OF ROME “TOR VERGATA”
متن کاملModelling Electricity Prices: A Time Change Approach
To capture mean reversion and sharp seasonal spikes observed in electricity prices, this paper develops a new stochastic model for electricity spot prices by time changing the Jump CoxIngersoll-Ross (JCIR) process with a random clock that is a composite of a Gamma subordinator and a deterministic clock with seasonal activity rate. The time-changed JCIR process is a timeinhomogeneous Markov semi...
متن کاملJoint Modelling of Gas and Electricity spot prices
The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The dynamics are based on Ornstein processes with parameterized diffusion coefficients. Moreover, using t...
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ژورنال
عنوان ژورنال: Economic Record
سال: 2008
ISSN: 0013-0249
DOI: 10.1111/j.1475-4932.2007.00427.x