A Hybrid SETARX Model for Spikes in Electricity Prices and its Calibration
Carlo Lucheroni
University of Camerino
December 1, 2010
Abstract:
This paper discusses a simple regime-switching SETARX model for electricity prices in discrete and continuous time. The regime structure of the model is linked to market organizational features. In continuous time the model can include spikes without using jumps.
Number of Pages in PDF File: 11
Keywords: Stochastic processes, time series analysis, power system
JEL Classification: C39, D49, G19, L11
working papers series
Suggested Citation
Lucheroni, Carlo, A Hybrid SETARX Model for Spikes in Electricity Prices and its Calibration (December 1, 2010). Available at SSRN: http://ssrn.com/abstract=1837512 or http://dx.doi.org/10.2139/ssrn.1837512
