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Document type:
Zeitschriftenaufsatz 
Author(s):
Klüppelberg, C., Meyer-Brandis, T., Schmidt, A. 
Title:
Electricity spot price modelling with a view towards extreme spike risk 
Abstract:
Sums of Lévy-driven Ornstein-Uhlenbeck processes seem appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we show it at work for the EEX Phelix Base electricity price index. We also present a small simulation study to show the performance of our estimation procedure. 
Journal title:
Quantitative Finance 
Year:
2010 
Journal volume:
10 
Journal issue:
Pages contribution:
963-974 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text