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Evaluating independent spike models

Lindström, Erik LU orcid and Regland, Fredrik (2010) 47th EWGFM meeting p.109-117
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.
Please use this url to cite or link to this publication:
author
and
organization
publishing date
type
Chapter in Book/Report/Conference proceeding
publication status
published
subject
keywords
regime switching models, electricity spot prices, independent spike models, gamma distribution
host publication
Proceedings of 47th EWGFM meeting
editor
Tichý, Tomáš and Kopa, Miloš
pages
9 pages
publisher
VŠB – Technical University of Ostrava & Charles University in Prague
conference name
47th EWGFM meeting
conference dates
2010-10-28 - 2010-10-30
ISBN
978-80-248-2351-5 (print)
language
English
LU publication?
yes
id
d3594ae1-c225-4f37-a352-c320c599e348 (old id 3008334)
alternative location
http://simu0292.utia.cas.cz/ewgfm/papers/EWGFM47.pdf
date added to LUP
2016-04-04 11:27:31
date last changed
2019-03-08 03:24:07
@inproceedings{d3594ae1-c225-4f37-a352-c320c599e348,
  abstract     = {{Markov regime switching models are often used to model energy prices. We have<br/><br>
applied these to six electricity markets. The seasonal variation is corrected for by using the month<br/><br>
ahead forward price as a predictor. This paper extends to the current framework by using Gamma<br/><br>
distributed spikes, which improves the fit for most energy markets. Applications on European<br/><br>
energy markets are provided with good results for most markets.}},
  author       = {{Lindström, Erik and Regland, Fredrik}},
  booktitle    = {{Proceedings of 47th EWGFM meeting}},
  editor       = {{Tichý, Tomáš and Kopa, Miloš}},
  isbn         = {{978-80-248-2351-5 (print)}},
  keywords     = {{regime switching models; electricity spot prices; independent spike models; gamma distribution}},
  language     = {{eng}},
  pages        = {{109--117}},
  publisher    = {{VŠB – Technical University of Ostrava & Charles University in Prague}},
  title        = {{Evaluating independent spike models}},
  url          = {{http://simu0292.utia.cas.cz/ewgfm/papers/EWGFM47.pdf}},
  year         = {{2010}},
}