Electricity spot price modelling with a view towards extreme spike risk

被引：38

作者：

Klueppelberg, Claudia ^{[2
,3
]}

Meyer-Brandis, Thilo ^{[1
]}

Schmidt, Andrea ^{[4
]}

机构：

[1] Univ Oslo, Ctr Math Appl, N-0316 Oslo, Norway

[2] Tech Univ Munich, Ctr Math Sci, D-85747 Garching, Germany

[3] Tech Univ Munich, Inst Adv Study, D-85747 Garching, Germany

[4] Deutsch Bank AG, D-60272 Frankfurt, Germany

来源：

QUANTITATIVE FINANCE | 2010年 / 10卷 / 09期

关键词：

Financial mathematics; Extreme value theory; Energy derivatives; Energy markets;

D O I：

10.1080/14697680903150496

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Sums of Levy-driven Ornstein-Uhlenbeck processes are appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we show it at work for the EEX Phelix Base electricity price index. We also present a small simulation study to demonstrate the performance of our estimation procedure.

引用

页码：963 / 974

页数：12

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