Heavy-tails and regime-switching in electricity prices

DOI10.1007/S00186-008-0247-4zbMath1163.91362OpenAlexW2015051487MaRDI QIDQ1028534

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

spikesheavy-tailsPareto distributionMarkov regime-switchingelectricity spot price

Mathematics Subject Classification ID

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

Related Items (8)

Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices ⋮ Efficient estimation of Markov regime-switching models: an application to electricity spot prices ⋮ De-noising option prices with the wavelet method ⋮ Aging Feynman–Kac equation ⋮ Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach ⋮ Regime-switching temperature dynamics model for weather derivatives ⋮ Wavelet-based option pricing: an empirical study ⋮ Modeling the distribution of day-ahead electricity returns: a comparison

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• Analysis of time series subject to changes in regime
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• Statistical Tools for Finance and Insurance
• The Nature of Power Spikes: A Regime-Switch Approach
• Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
• Computational Science - ICCS 2004

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