Modeling the electricity spot price with switching regime semi-nonparametric distributions
Spot prices of electricity in liberalized markets feature seasonality, mean reversion, random short-term jumps, skewness and highly kurtosis, as a result from the interaction between the supply and demand and the physical restrictions for transportation and storage. To account for such stylized fact...
- Autores:
-
Trespalacios, Alfredo
Cortés, Lina M.
Perote, Javier
- Tipo de recurso:
- Fecha de publicación:
- 2019
- Institución:
- Universidad EAFIT
- Repositorio:
- Repositorio EAFIT
- Idioma:
- eng
- OAI Identifier:
- oai:repository.eafit.edu.co:10784/14587
- Acceso en línea:
- http://hdl.handle.net/10784/14587
- Palabra clave:
- Electricity markets
Gram-Charlier series
switching regime models
Ornstein–Uhlembeck process
- Rights
- License
- Acceso abierto