Power Prices: A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation - Image 1

£81.34

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

Energy & Mining

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Price History & Forecast

Last 79 days • 79 data points (No recent data available)

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Price distribution over 79 days • 1 price levels

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Most common price: £81 (79 days, 100.0%)

Price range: £81 - £81

Price levels: 1 different prices over 79 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

Brand: Südwestdeutscher Verlag für Hochschulschriften
Format: paperback
ASIN: 3838100794
Category: Books > Subjects > University Textbooks > Business & Finance > Industries > Energy & Mining
Domain: Amazon UK
Release Date: 19 January 2009
Listed Since: 28 January 2009

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

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

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