Bookcover of Power Prices
Booktitle:

Power Prices

A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation

Südwestdeutscher Verlag für Hochschulschriften (2009-01-18 )

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ISBN-13:

978-3-8381-0079-1

ISBN-10:
3838100794
EAN:
9783838100791
Book language:
German
Blurb/Shorttext:
Over the last decade, European electricity markets have experienced rapid deregulation and liberalisation. This has caused electricity prices to become highly volatile and exhibiting very distinct characteristics such as strong seasonal patterns, extreme spikes and mean-reverting behaviour. In this work the electricity spot and futures prices observed at the European Energy Exchange are analysed. A general multi-factor affine diffusion model combined with a finite q-state Markov regime-switching process is presented which incorporates the stylised features of both spot and futures prices. The model is estimated using a maximum likelihood approach where the likelihood function is evaluated applying Kalman/Kim filter techniques. In order to quantify the seasonal patterns, regression models are developped. Their results provide the seasonal structure for the price model and also build the basis for the construction of an hourly price forward curve. The models’ performance is assessed comparing historical and model implied price characteristics.
Publishing house:
Südwestdeutscher Verlag für Hochschulschriften
Website:
https://www.svh-verlag.de
By (author) :
Lea Bloechlinger
Number of pages:
256
Published on:
2009-01-18
Stock:
Available
Category:
Mathematics
Price:
89.90 €
Keywords:
Multi-Factor Model, AJD-Process, Markov Regime-Switching Process, Kalman Filter, Kim Filter, Forward Curve, Power Pices, Kim Filter

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