• DocumentCode
    3643335
  • Title

    Modeling electricity spot prices: Regime switching models with price-capped spike distributions

  • Author

    Joanna Janczura;Rafał Weron

  • Author_Institution
    Hugo Steinhaus Center, Institute of Mathematics and Computer Science, Wrocł
  • fYear
    2010
  • Firstpage
    1
  • Lastpage
    4
  • Abstract
    We calibrate Markov regime-switching (MRS) models to spot (log-)prices from two major power markets. We show that while the price-capped (or truncated) spike distributions do not give any advantage over the standard specification in case of moderately spiky markets (such as NEPOOL), they improve the fit and yield significantly different results in case of extremely spiky markets (such as the Australian NSW market).
  • Keywords
    "Biological system modeling","Electricity","Markov processes","Switches","Power markets","Calibration","Maximum likelihood estimation"
  • Publisher
    ieee
  • Conference_Titel
    Modern Electric Power Systems (MEPS), 2010 Proceedings of the International Symposium
  • Type

    conf

  • Filename
    6007164
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3643335