£81.34

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Südwestdeutscher Verlag für Hochschulschriften Power Prices: A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation

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£81.34 £77.27 £78.90 £80.53 £82.15 £83.78 £85.41 29 July 2026 14 August 2026 30 August 2026 15 September 2026 01 October 2026
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Most common price: £81 (65 days, 100.0%)

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Price levels: 1 different prices over 65 days

Description

Over the last decade, European electricity markets have experienced rapid deregulation and liberalisation. This has caused electricity prices to become highly volatile and exhibiting very distinct characteristics such as strong seasonal patterns, extreme spikes and mean-reverting behaviour. In this work the electricity spot and futures prices observed at the European Energy Exchange are analysed. A general multi-factor affine diffusion model combined with a finite q-state Markov regime-switching process is presented which incorporates the stylised features of both spot and futures prices. The model is estimated using a maximum likelihood approach where the likelihood function is evaluated applying Kalman/Kim filter techniques. In order to quantify the seasonal patterns, regression models are developped. Their results provide the seasonal structure for the price model and also build the basis for the construction of an hourly price forward curve. The models' performance is assessed comparing historical and model implied price characteristics.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
19 January 2009
Listed Since
28 January 2009

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