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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Bernhardt, C.,Klüppelberg, C., Meyer-Brandis, T. 
Titel:
Estimating high quantiles for electricity prices by stable linear models 
Abstract:
We estimate conditional and unconditional high quantiles for electricity spot prices based on a linear model with stable innovations. This approach captures the impressive peaks in such data and, as a four-parametric family captures also the asymmetry in the innovations. Moreover, it allows for explicit formulas of quantiles, which can then be calculated recursively from day to day. We also prove that conditional quantiles of step h ε N converge for h→∞ to the corresponding unconditional quant...    »
 
Stichworte:
ARMA model, electricity prices, high quantile, linear model, stable distribution 
Zeitschriftentitel:
Journal of Energy Markets 
Jahr:
2008 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
3-19 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 08 
Format:
Text