Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes

DOI10.1007/978-3-319-23425-0_13zbMath1334.62227OpenAlexW2226969490MaRDI QIDQ2801800

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

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)

Related Items (1)

Pricing Quanto Options in Renewable Energy Markets

Uses Software

• ghyp
• QRM

Cites Work

• 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
• Modelling Electricity Prices with Forward Looking Capacity Constraints
• Estimation for Non-Negative Lévy-Driven CARMA Processes

This page was built for publication: Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes