User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Benth, F.E., Klüppelberg, C., Müller, G., and Vos, L. 
Title:
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...    »
 
Keywords:
CARMA model, electricity spot prices, electricity forward prices, continuous time linear model, Lévy process, stable CARMA process, risk premium, robust filter 
Journal title:
Energy Economics 
Year:
2014 
Journal volume:
44 
Pages contribution:
392-406 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text