|
EconStor >
Technische Universität München >
Center for Entrepreneurial and Financial Studies (CEFS), Technische Universität München >
CEFS Working Paper Series, Center for Entrepreneurial and Financial Studies, Technische Universität München >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/48424
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Mayer, Klaus | | en_US |
| dc.contributor.author | | Schmid, Thomas | | en_US |
| dc.contributor.author | | Weber, Florian | | en_US |
| dc.date.accessioned | | 2011-05-12 | | en_US |
| dc.date.accessioned | | 2011-07-18T08:59:26Z | | - |
| dc.date.available | | 2011-07-18T08:59:26Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/48424 | | - |
| dc.description.abstract | | Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still puzzling researchers and practitioners. In this paper, we propose an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different mean-reversion rates for 'normal' and 'extreme' (spike) periods. Another feature of the model is its ability to capture correlation structures of electricity price spikes. Furthermore, all model parameters can easily be estimated with help of historical data. Consequently, we argue that this model does not only extend academic literature on electricity spot price modeling, but is also suitable for practical purposes, e.g. as underlying price model for option pricing. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Center for Entrepreneurial and Financial Studies (CEFS) Munich | | en_US |
| dc.relation.ispartofseries | | CEFS working paper series 2011-02 | | en_US |
| dc.subject.jel | | G17 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Electricity | | en_US |
| dc.subject.keyword | | Energy markets | | en_US |
| dc.subject.keyword | | Lévy processes | | en_US |
| dc.subject.keyword | | Mean-reversion | | en_US |
| dc.subject.keyword | | Spikes | | en_US |
| dc.subject.keyword | | Stochastic volatility | | en_US |
| dc.subject.keyword | | GARCH | | en_US |
| dc.subject.stw | | Stromhandel | | en_US |
| dc.subject.stw | | Optionsgeschäft | | en_US |
| dc.subject.stw | | Spotmarkt | | en_US |
| dc.subject.stw | | Stromtarif | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | ARCH-Modell | | en_US |
| dc.title | | Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 65790497X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:cefswp:201102 | | - |
| Appears in Collections: | | CEFS Working Paper Series, Center for Entrepreneurial and Financial Studies, Technische Universität München
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|