Evaluating independent spike models
Lindström, Erik; Regland, Fredrik (2010). Evaluating independent spike models. Tichý, Tomáš; Kopa, Miloš (Eds.). Proceedings of 47th EWGFM meeting, 109 - 117. 47th EWGFM meeting: VŠB – Technical University of Ostrava & Charles University in Prague
Conference Proceeding/Paper
|
Published
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English
Authors:
Lindström, Erik
;
Regland, Fredrik
Editors:
Tichý, Tomáš
;
Kopa, Miloš
Department:
Mathematical Statistics
Mathematical Finance-lup-obsolete
Financial Mathematics Group
Research Group:
Mathematical Finance-lup-obsolete
Financial Mathematics Group
Abstract:
Markov regime switching models are often used to model energy prices. We have
applied these to six electricity markets. The seasonal variation is corrected for by using the month
ahead forward price as a predictor. This paper extends to the current framework by using Gamma
distributed spikes, which improves the fit for most energy markets. Applications on European
energy markets are provided with good results for most markets.
Keywords:
regime switching models ;
electricity spot prices ;
independent spike models ;
gamma distribution
ISBN:
978-80-248-2351-5 (print)
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