Estimating high quantiles for electricity prices by stable linear models

Bernhardt, Christine; Klüppelberg, Claudia und Meyer-Brandis, Thilo (2008): Estimating high quantiles for electricity prices by stable linear models. In: Journal of Energy Markets, Bd. 1, Nr. 1: S. 3-19

Abstract

We estimate conditional and unconditional high quantiles for electricity spot prices based on a linear model with stable innovations. This approach captures the impressive peaks in such data and, as a four-parametric family captures also the assymmetry in the innovations. Moreover, it allows for explicit formulas of quantiles, which can then be calculated recursively from day to day. We also prove that conditional quantiles of step h 2 N converge for h ! 1 to the corresponding unconditional quantiles. The paper is motivated by the daily spot prices from the Singapore New Electricity Market, which serves an example to show our method at work.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 17563607
• Sprache: Englisch