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Modeling electricity prices with regime switching models

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (2004) 3039 859-867
DOI: 10.1007/978-3-540-25944-2_111
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Abstract

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. © Springer-Verlag Berlin Heidelberg 2004.

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Bierbrauer, M., Trück, S., & Weron, R. (2004). Modeling electricity prices with regime switching models. Lecture Notes in Computer Science (Including Subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 3039, 859–867. https://doi.org/10.1007/978-3-540-25944-2_111

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