Modeling electricity prices with regime switching models

被引：0
|
作者：
Bierbrauer, M
Trück, S
Weron, R
机构：
[1] Univ Karlsruhe, Chair Stat Economet & Math Finance, D-76128 Karlsruhe, Germany
[2] Wroclaw Univ Technol, Hugo Steinhaus Ctr Stochast Methods, PL-50370 Wroclaw, Poland
来源：
COMPUTATIONAL SCIENCE - ICCS 2004, PROCEEDINGS | 2004年 / 3039卷
关键词：
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market prices.
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页码：859 / 867
页数：9
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