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...

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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
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