DocumentCode
551451
Title
SETARX models for spikes and antispikes in electricity prices
Author
Lucheroni, Carlo
Author_Institution
Sch. of Sci. & Technol., Univ. of Camerino, Camerino, Italy
fYear
2010
fDate
20-22 Sept. 2010
Firstpage
1
Lastpage
6
Abstract
This paper discusses two regime-switching TARX models for electricity prices that include spikes, antispikes and microeconomic threshold effects typical of power markets, without using jumps. Preliminary version.
Keywords
power markets; pricing; SETARX models; electricity prices; microeconomic threshold effects; power markets; regime-switching TARX models; Biological system modeling; Electricity; Mathematical model; Noise; Power markets; Stochastic processes; Trajectory; Stochastic processes; power system economics; time series analysis;
fLanguage
English
Publisher
ieee
Conference_Titel
Modern Electric Power Systems (MEPS), 2010 Proceedings of the International Symposium
Conference_Location
Wroclaw
Print_ISBN
978-83-921315-7-1
Type
conf
Filename
6007246
Link To Document