Abstract
We address the issue of modeling spot electricity prices with regime switching models. After reviewing the stylized facts about power markets we propose and fit various models to spot prices from the Nordic power exchange. Afterwards we assess their performance by comparing simulated and market prices.
| Original language | English |
|---|---|
| Pages (from-to) | 859-867 |
| Number of pages | 9 |
| Journal | Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) |
| Volume | 3039 |
| Publication status | Published - 2004 |
| Externally published | Yes |