Modeling electricity prices: jump diffusion and regime switching

By Rafal Weron, Michael Bierbrauer, Stefan Trück. 2004

290 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/b826ed0ed3f1068ef0862d395bec0144b9de5371

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In Electrical and Electronic Engineering

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Citations in the corpus

Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, background): “Weron, Bierbrauer, and Trück (2004) and Weron, Simonsen et al. (2004) assume that a positive jump is always followed by a negative jump of (approximately) the same size, in order to capture the rapid decline of electricity prices after a spike; these are referred to by Seifert and UhrigHomburg…”
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020, unknown): “Regime-switching studies include modeling electricity prices (Weron et al. 2004), short rates (Siu 2010), portfolio selection (Zhang et al. 2012), and option pricing (Elliott et al. 2007; Yuen and Yang 2009; Liu 2010; Ramponi 2012; Zhang et al. 2012; Fard and Siu 2013; Florescu et al. 2013;…”
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;…”
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006, unknown): “They found it superior (both in-sample and out-of-sample) to a jump-diffusion model (Johnson and Barz, 1999, Weron, 2006 ).”
An empirical comparison of alternate regime-switching models or electricity spot prices (2010, methodology): “The IS 2-regime model was further investigated by Weron et al. (2004), who introduced log-normally distributed spikes.”
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).”