期刊
JOURNAL OF BANKING & FINANCE
卷 31, 期 11, 页码 3462-3485出版社
ELSEVIER
DOI: 10.1016/j.jbankfin.2007.04.011
关键词
power markets; spot price modeling; regime-switching models; forward premium
Using spot and futures price data from the German EEX Power market, we test the adequacy of various one-factor and two-factor models for electricity spot prices. The models are compared along two different dimensions: (1) We assess their ability to explain the major data characteristics and (2) the forecasting accuracy for expected future spot prices is analyzed. We find that the regime-switching models clearly outperform its competitors in almost all respects. The best results are obtained using a two-regime model with a Gaussian distribution in the spike regime. Furthermore, for short and medium-term periods our results underpin the frequently stated hypothesis that electricity futures quotes are consistently greater than the expected future spot, a situation which is denoted as contango. (C) 2007 Elsevier B.V. All rights reserved.
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