Download This PaperA 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: 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
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