A critical empirical study of three electricity spot price models

Energy Economics

Volumn 34, Issue 5, 2012, Pages 1589-1616

  Benth, Fred Espen ^a,b,c   Kiesel, Rüdiger ^a,b,c   Nazarova, Anna ^a,b,c  

^a UNIVERSITY OF OSLO   (Norway)

^b UNIVERSITY OF AGDER   (Norway)

^c UNIVERSITY OF DUISBURG ESSEN   (Germany)

Author keywords

Electricity forwards; Electricity spot price; Forward risk premium; Jump diffusion; Mean reversion; Ornstein Uhlenbeck process; Spikes

Indexed keywords

ELECTRICITY SPOT PRICE; FORWARD RISK PREMIUMS; JUMP-DIFFUSION; MEAN-REVERSION; ORNSTEIN-UHLENBECK PROCESS; SPIKES;

BROWNIAN MOVEMENT; ELECTRIC PROPERTIES; ELECTRICITY; POISSON DISTRIBUTION; STABILITY CRITERIA;

COSTS;

BROWNIAN MOTION; ELECTRICITY SUPPLY; EMPIRICAL ANALYSIS; NUMERICAL MODEL; POISSON RATIO; PRICE DYNAMICS; STATISTICAL ANALYSIS;

GERMANY;

EID: 84864807752     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2011.11.012     Document Type: Article

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