Regime jumps in electricity prices

被引：200

作者：

Huisman, R ^{[1
]}

Mahieu, R ^{[1
]}

机构：

[1] Erasmus Univ, NL-3000 DR Rotterdam, Netherlands

来源：

ENERGY ECONOMICS | 2003年 / 25卷 / 05期

关键词：

energy markets; electricity price modelling; regime switching models; spikes;

D O I：

10.1016/S0140-9883(03)00041-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Many countries are liberalizing their energy markets. Participants in these markets are exposed to market risk due to the characteristics of electricity price dynamics. Electricity prices are known to be mean-reverting very volatile and subject to frequent spikes. Models that describe the dynamics of electricity prices should incorporate these characteristics. In order to capture the price spikes, many researchers have introduced stochastic jump processes, but we argue and show that this specification might lead to potential problems with specifying the true amount of mean-reversion within the process. In this paper, we propose a regime-switching model that models price spikes separated from normal mean-reverting prices. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：425 / 434

页数：10