Du är här

Markov Chain Monte Carlo Estimation of a Multi-Factor Jump Diffusion Model for Power Prices

Författare:
Publiceringsår: 2008
Språk: Engelska
Sidor: 65-90
Publikation/Tidskrift/Serie: The Journal of Energy Markets
Volym: 1
Nummer: 4
Dokumenttyp: Artikel
Förlag: Incisive Media

Sammanfattning

In this paper we generalize the electricity spot price model of Lucia and Schwartz by a two-factor model with jumps and stochastic volatility. We estimate the model on daily spot price data from the Nordic market using an approach that combines traditional statistical methods with a Markov chain Monte Carlo algorithm. Results show that the model captures most of the trajectorial and the statistical characteristics of the electricity spot price. Further, we find that the inclusion of stochastic volatility is crucial to separate spikes from the normal price process. Moreover, we estimate that the correlation between the spot price and its stochastic volatility is negative.

Disputation

Nyckelord

  • Business and Economics
  • stochastic volatility
  • spot price
  • electricity markets
  • spikes

Övriga

Published
Yes
  • ISSN: 1756-3607

Box 117, 221 00 LUND
Telefon 046-222 00 00 (växel)
Telefax 046-222 47 20
lu [at] lu [dot] se

LERU logotype U21 logotype

Fakturaadress: Box 188, 221 00 LUND
Organisationsnummer: 202100-3211
Om webbplatsen