Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 336, Issue 1-2, Pages 39-48Publisher
ELSEVIER
DOI: 10.1016/j.physa.2004.01.008
Keywords
electricity price; jump diffusion; regime switching; seasonality
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In this paper we address the issue of modeling spot electricity prices. After summarizing the stylized facts about spot electricity prices, we review a number of models proposed in the literature. Afterwards we fit a jump diffusion and a regime switching model to spot prices from the Nordic power exchange and discuss the pros and cons of each one. (C) 2004 Elsevier B.V. All rights reserved.
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