Regime-switching characterization of electricity prices dynamics
作者： Carlo Mari
DOI: 10.1016/J.PHYSA.2006.03.040
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摘要: Abstract Stochastic models of electricity prices have been used extensively during the last few years to describe fluctuations in deregulated power markets. Regime-switching seem good candidates capture main features dynamics as mean-reversion property well presence jumps and spikes. Since they offer possibility introduce various rates, volatility jumps, depending on state system, such allow properties stable motion spike a very flexible way. In this paper, two-regime three-regime are discussed, comparison performed market data, is proposed.
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