Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
DOI10.1007/978-3-319-23425-0_13zbMATH Open1334.62227OpenAlexW2226969490MaRDI QIDQ2801800FDOQ2801800
Authors: Almut E. D. Veraart 
Publication date: 22 April 2016
Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-23425-0_13
Recommendations
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)
Cites Work
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Modelling Electricity Prices with Forward Looking Capacity Constraints
- Estimation for non-negative Lévy-driven CARMA processes
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
Cited In (7)
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model
- Spatial dependencies of wind power and interrelations with spot price dynamics
- A semi-Markov model of the variability of power generation from renewable sources
- Pricing Quanto Options in Renewable Energy Markets
- A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
- The effect of intermittent renewables on the electricity price variance
- A new approach to wind power futures pricing
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