Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility

Energy Economics

Volumn 32, Issue 3, 2010, Pages 709-725

  Heydari, Somayeh ^a   Siddiqui, Afzal ^a,b  

^a UNIVERSITY COLLEGE LONDON   (United Kingdom)

^b STOCKHOLM UNIVERSITY   (Sweden)

Author keywords

Energy spot prices; Hamilton filter; Markov regime switching; Stochastic volatility; Variogram

Indexed keywords

HAMILTONS; REGIME SWITCHING; SPOT PRICE; STOCHASTIC VOLATILITY; VARIOGRAMS;

ALGEBRA; COSTS; ELECTRIC LOAD FORECASTING; ELECTRIC NETWORK ANALYSIS; GAS PLANTS; INVESTMENTS; POWER PLANTS; STOCHASTIC SYSTEMS; SWITCHING;

STOCHASTIC MODELS;

ELECTRICITY GENERATION; NATURAL GAS; NUMERICAL MODEL; POWER PLANT; STOCHASTICITY; VARIOGRAM;

UNITED KINGDOM;

EID: 77950540040     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.10.001     Document Type: Article

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