Pricing swing options and other electricity derivatives

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An empirical comparison of alternate regime-switching models or electricity spot prices (2010, methodology): “Kosater and Mosler (2006) reported that for EEX 2000-2004 data the IS 2-regime model outperformed the model of Ethier and Mount (1998) in terms of short/medium-term forecasts (up to 1 month), while the opposite was true for long-term forecasts.”