An empirical comparison of alternate regime-switching models or electricity spot prices

By Joanna Janczura, Rafal Weron. 2010

228 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/1d0b34387d1b86ed16b471b1d3a92fb7a2308c56

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In Electrical and Electronic Engineering

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Citations in the corpus

Electricity markets around the world (2018, background): “…both to the upside as well as the downside are commonly addressed by models that include jump components (Lucia and Schwartz, 2002; Cartea and Figueroa, 2005; Seifert and Uhrig-Homburg, 2007) or a regime-switching mechanism (Weron et al., 2004a; Bierbrauer et al., 2007; Janczura and Weron, 2010).”
A review of electricity product differentiation (2014, background): “Since spot electricity prices are highly volatile with occasional spikes [57–68], LSEs and customers may seek to manage electricity spot-price risk using such hedge instruments as, tolling agreements, forward contracts, and capacity options that are traded in financial markets [69–74].”
Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets (2016, background): “…Knittel and Roberts, 2005; Park et al., 2006; Haldrup and Nielsen, 2006; Mount et al., 2006; Weron, 2006; Guthrie and Videbeck, 2007; Benth and Koekebakker, 2008; Karakatsani and Bunn, 2008; Redl et al., 2009; Marckhoff and Wimschulte, 2009; Janczura and Weron, 2010; Douglas and Popova, 2011).”
Recent advances in electricity price forecasting: A review of probabilistic forecasting (2016, methodology): “For the Markov Regime-Switching (MRS; see [1, 44]) model they use Monte Carlo simulations to obtain potential future values and, consequently, the empirical PIs.”
The impact of wind power generation on the electricity price in Germany (2014, background): “To better understand the performance of the electricity price, market fundamentals should be reflected in the calculations (Janczura and Weron, 2010).”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “However, two or three regimes are typically enough to model the dynamics of electricity spot prices adequately (Janczura & Weron, 2010; Karakatsani & Bunn, 2010).”
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (2013, methodology): “Indeed, the base regime is typically modeled by a mean-reverting diffusion (Huisman, 2009), sometimes heteroskedastic (Janczura and Weron, 2010).”