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Modeling electricity spot prices: Regime switching models with price-capped spike distributions

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2 Author(s)
Janczura, J. ; Inst. of Math. & Comput. Sci., Wroclaw Univ. of Technol., Wrocław, Poland ; Weron, R.

We calibrate Markov regime-switching (MRS) models to spot (log-)prices from two major power markets. We show that while the price-capped (or truncated) spike distributions do not give any advantage over the standard specification in case of moderately spiky markets (such as NEPOOL), they improve the fit and yield significantly different results in case of extremely spiky markets (such as the Australian NSW market).

Published in:

Modern Electric Power Systems (MEPS), 2010 Proceedings of the International Symposium

Date of Conference:

20-22 Sept. 2010