A Hybrid SETARX Model for Spikes in Electricity Prices and its Calibration

11 Pages Posted: 12 May 2011

Date Written: 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.

Keywords: Stochastic processes, time series analysis, power system

JEL Classification: C39, D49, G19, L11

Suggested Citation

Lucheroni, Carlo, A Hybrid SETARX Model for Spikes in Electricity Prices and its Calibration (December 1, 2010). Available at SSRN: https://ssrn.com/abstract=1837512 or http://dx.doi.org/10.2139/ssrn.1837512

Carlo Lucheroni (Contact Author)

University of Camerino ( email )

School of Sciences and Technologies
via Madonna delle Carceri 9
Camerino (MC), 62032
Italy
39-0737402552 (Phone)

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