Electricity spot price modelling with a view towards extreme spike risk

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Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013, background): “The literature on spot price modelling suggest to use semi-heavy and, in some cases, even heavy-tailed distributions in order to account for the extreme spikes in electricity spot prices, see, for example, Klüppelberg, Meyer-Brandis and Schmidt [53] and Benth et al. [25] who suggested to use the st”
Electricity price modeling with stochastic time change (2017, unknown): “[21], Banndorff-Nielsen et al.”
Futures pricing in electricity markets based on stable CARMA spot models (2012, methodology): “Since extreme spikes are rather infrequently observed, it is diﬃcult to calibrate the spike component in a conventional two-factor model; this has been observed in Kl¨uppelberg et al. [26].”