English, Article edition: MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES THILO MEYER-BRANDIS; PETER TANKOV

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Physical Description
  • article
Language
  • English

Edition details

Title
  • MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
Author
  • THILO MEYER-BRANDIS
  • PETER TANKOV
Physical Description
  • article
Notes
  • The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can be adequately reproduced by the sum-OU model: a model representing the price as a sum of Lévy-driven OrnsteinâUhlenbeck (OU) processes. We present a new method for filtering out the different OU components and develop a statistical procedure for estimating the sum-OU model from data.
  • Electricity prices, multi-factor models, Lévy-driven OrnsteinâUhlenbeck type processes, statistical estimation, nonlinear filtering
  • RePEc:wsi:ijtafx:v:11:y:2008:i:05:p:503-528
Language
  • English
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