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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Benth, F.E., Klüppelberg, C., Müller, G., and Vos, L. 
Titel:
Futures pricing in electricity markets based on stable CARMA spot models 
Abstract:
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large uctuations by a non-Gaussian stable CARMA process. The model allows for analytic forward prices, and we apply these to model and estimate the whole market consiste...    »
 
Stichworte:
CARMA model, electricity spot prices, electricity forward prices, continuous time linear model, Lévy process, stable CARMA process, risk premium, robust filter 
Zeitschriftentitel:
Energy Economics 
Jahr:
2014 
Band / Volume:
44 
Seitenangaben Beitrag:
392-406 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text