Heavy-tails and regime-switching in electricity prices

DOI10.1007/S00186-008-0247-4MaRDI QIDQ1028534zbMATH OpenOpenAlexFDO

Authors Rafał Weron

Publication date 6 July 2009

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/10424/1/MPRA_paper_10424.pdf

zbMATH Keywords

Pareto distributionheavy-tailsspikesMarkov regime-switchingelectricity spot price

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Analysis of time series subject to changes in regime
• Computational Science - ICCS 2004
• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
• Stable Paretian models in finance
• Stable modeling in energy risk management
• Statistical Tools for Finance and Insurance
• Stochastic modeling of electricity and related markets.
• The Nature of Power Spikes: A Regime-Switch Approach

Cited in

(11)

• Computational Science - ICCS 2004
• Regime-switching temperature dynamics model for weather derivatives
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• Alternative statistical specifications of commodity price distribution with fat tail
• Randomly Modulated Periodic Signals in Alberta's Electricity Market
• Wavelet-based option pricing: an empirical study
• Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
• Efficient estimation of Markov regime-switching models: an application to electricity spot prices
• Modeling the distribution of day-ahead electricity returns: a comparison
• Aging Feynman-Kac equation
• De-noising option prices with the wavelet method

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