Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
By Rafal Weron, Ingve Simonsen, P. Wilman. 2004
115 citations recorded by the source corpus.
Subfields: Electrical and Electronic Engineering, Finance
View Paper: https://www.semanticscholar.org/paper/2d22b7825d19a8cb2c1f8d041ca361ec2267b4d8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Electrical and Electronic Engineering
- Rafal Weron
- Stefan Trück
- Klaus F. X. Mayer
- Michael Bierbrauer
- Svetlozar T. Rachev
- Christian Menn
- Ewa Broszkiewicz-Suwaj
- Jonas Andersson
In Finance
- Rafal Weron
- Stefan Trück
- Klaus F. X. Mayer
- Michael Bierbrauer
- Svetlozar T. Rachev
- Christian Menn
- Apostolos Serletis
- Janina Ketterer
Citations in the corpus
- Spot and Derivative Pricing in the EEX Power Market (2007, methodology): “For the deterministic seasonal component ft sinusoidal (Pilipovic, 1997; Weron et al., 2004a), constant piece-wise functions (Pindyck, 1999; Knittel and Roberts, 2001; Huisman and De Jong, 2003; Haldrup and Nielsen, 2004), a combination of both methods (Lucia and Schwartz, 2002; De Jong, 2005;…”
- On detecting and modeling periodic correlation in financial data (2004, methodology): “model the residuals via a stochastic process (like in [28, 29 ]) or seek models of electricity price dynamics in the class of PC processes.”
- Modeling electricity prices: jump diffusion and regime switching (2004, unknown): “0529, were estimated using the Generalized Method of Moments (GMM) [8,26].”
- Electricity prices, large-scale renewable integration, and policy implications (2017, background): “We note that electricity prices during all hours and peak hours are not very informative regarding their unit root properties, although they should be stationary based on their mean reverting behavior [see Schwartz, 1997; Simonsen et al., 2004; Weron et al., 2004; Cartea and Figueroa, 2005], which i”
- Electricity markets around the world (2018, methodology): “…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).”