Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89329
Authors: 
Sapio, Sandro
Year of Publication: 
2010
Series/Report no.: 
LEM Working Paper Series 2009/21
Abstract: 
This paper contributes to characterizing the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power (EP), and Asymmetric Exponential Power (AEP), and comparing their goodness of fit. The α-stable and the NIG systematically outperform the EP and AEP models, but the tail behaviours and the skewness are sensitive to the definition of returns and to the deseasonalization methods. In particular, the logarithmic transform and volatility rescaling tend to dampen the extreme returns.
Subjects: 
Electricity prices
α-stable
Normal Inverse Gaussian
Exponential Power
Asymmetric Exponential Power
goodness-of-fit
JEL: 
C16
L94
Document Type: 
Working Paper

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