Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes

DOI10.1007/978-3-319-23425-0_13MaRDI QIDQ2801800zbMATH OpenOpenAlexFDO

Authors Almut E. D. Veraart

Publication date 22 April 2016

Published in Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/978-3-319-23425-0_13

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cites work

• Estimation for non-negative Lévy-driven CARMA processes
• Modelling Electricity Prices with Forward Looking Capacity Constraints
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations

Cited in

(8)

• The effect of intermittent renewables on the electricity price variance
• A new approach to wind power futures pricing
• Spatial dependencies of wind power and interrelations with spot price dynamics
• A semi-Markov model of the variability of power generation from renewable sources
• A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
• Pricing Quanto Options in Renewable Energy Markets
• Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
• A wind-dependent self-exiting electricity spot price model

Describes a project that uses

Uses Software

• ghyp
• QRM

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