Electricity spot price modelling with a view towards extreme spike risk

Klüppelberg, Claudia; Meyer-Brandis, Thilo und Schmidt, Andrea (2010): Electricity spot price modelling with a view towards extreme spike risk. In: Quantitative Finance, Bd. 10, Nr. 9: S. 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.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1469-7688
• Sprache: Englisch