| Title | Evaluating independent spike models |
| Authors | Erik Lindström, Fredrik Regland |
| Alternative Location | http://simu0292.utia.cas.cz... |
| Publication | Proceedings of 47th EWGFM meeting |
| Year | 2010 |
| Pages | 109 - 117 |
| Document type | Conference paper |
| Conference name | 47th EWGFM meeting |
| Conference Date | 2010-10-28/2010-10-30 |
| Conference Location | Prague |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | VŠB – Technical University of Ostrava & Charles University in Prague |
| Abstract English | Markov regime switching models are often used to model energy prices. We have<br> applied these to six electricity markets. The seasonal variation is corrected for by using the month<br> ahead forward price as a predictor. This paper extends to the current framework by using Gamma<br> distributed spikes, which improves the fit for most energy markets. Applications on European<br> energy markets are provided with good results for most markets. |
| Keywords | regime switching models, electricity spot prices, independent spike models, gamma distribution, |
| ISBN/ISSN/Other | ISBN: 978-80-248-2351-5 (print) |
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