Title :
SETARX models for spikes and antispikes in electricity prices
Author :
Lucheroni, Carlo
Author_Institution :
Sch. of Sci. & Technol., Univ. of Camerino, Camerino, Italy
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;
Conference_Titel :
Modern Electric Power Systems (MEPS), 2010 Proceedings of the International Symposium
Conference_Location :
Wroclaw
Print_ISBN :
978-83-921315-7-1
