ORCID: https://orcid.org/0000-0002-6374-7983 and Schmidt, Andrea
(2010):
Electricity spot price modelling with a view towards extreme spike risk.
In: Quantitative Finance, Vol. 10, No. 9: pp. 963-974
Abstract
Sums of Lévy-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.
Item Type: | Journal article |
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Faculties: | Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics |
Subjects: | 500 Science > 510 Mathematics |
ISSN: | 1469-7688 |
Language: | English |
Item ID: | 109878 |
Date Deposited: | 25. Mar 2024, 13:18 |
Last Modified: | 25. Mar 2024, 13:18 |