Bayesian estimation of electricity price risk with a multi-factor mixture of densities

DOI10.1080/14697688.2022.2052165zbMath1497.91213OpenAlexW4220799596MaRDI QIDQ5092665

Derek W. Bunn, Paul Damien, Li Kang, Stephen G. Walker

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2052165

zbMATH Keywords

Markov chain Monte CarloBayesian inferenceelectricity pricesmerit-order effectsstochastic skewness

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic models in economics (91B70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• A regime switching long memory model for electricity prices
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• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Loss-based approach to two-piece location-scale distributions with applications to dependent data
• On a transform for modeling skewness
• A STRUCTURAL RISK-NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
• Sampling-Based Approaches to Calculating Marginal Densities
• A non-Gaussian option pricing model with skew
• Multivariate continuous-time modeling of wind indexes and hedging of wind risk
• Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices
• On Families of Distributions with Shape Parameters

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