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Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions

https://doi.org/10.1109/eem.2009.5207175
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9781118673362openalex-snapshot
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
inferredcites →https://doi.org/10.1007/978-3-540-25944-2_111openalex-snapshot
Modeling Electricity Prices with Regime Switching Models
inferredcites →https://doi.org/10.1007/s00186-008-0247-4openalex-snapshot
Heavy-tails and regime-switching in electricity prices
inferredcites →https://doi.org/10.1016/0304-405x(77)90016-2openalex-snapshot
An equilibrium characterization of the term structure
inferredcites →https://doi.org/10.1016/0304-4076(90)90093-9openalex-snapshot
Analysis of time series subject to changes in regime
inferredcites →https://doi.org/10.1016/0304-4076(94)90036-1openalex-snapshot
Dynamic linear models with Markov-switching
inferredcites →https://doi.org/10.1016/j.eneco.2004.11.005openalex-snapshot
An empirical examination of restructured electricity prices
inferredcites →https://doi.org/10.1016/j.eneco.2010.05.008openalex-snapshot
An empirical comparison of alternate regime-switching models for electricity spot prices
inferredcites →https://doi.org/10.1016/j.jbankfin.2007.04.011openalex-snapshot
Spot and derivative pricing in the EEX power market
inferredcites →https://doi.org/10.1016/j.physa.2005.02.062openalex-snapshot
Volatility of power markets
inferredcites →https://doi.org/10.1016/s0140-9883(03)00041-0openalex-snapshot
Regime jumps in electricity prices
inferredcites →https://doi.org/10.1111/j.2517-6161.1977.tb01600.xopenalex-snapshot
Maximum Likelihood from Incomplete Data Via the EM Algorithm
inferredcites →https://doi.org/10.2307/1911242openalex-snapshot
A Theory of the Term Structure of Interest Rates

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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inferred← citeshttps://doi.org/10.2139/ssrn.3788508openalex-extracted
inferred← citeshttps://doi.org/10.1002/for.3004openalex-snapshot
Analyzing and forecasting electricity price using regime‐switching models: The case of New Zealand market
inferred← citeshttps://doi.org/10.1007/978-1-4614-7248-3_5openalex-snapshot
Inference for Markov Regime-Switching Models of Electricity Spot Prices
inferred← citeshttps://doi.org/10.1007/s10182-012-0202-9openalex-snapshot
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
inferred← citeshttps://doi.org/10.1007/s10287-016-0256-3openalex-snapshot
Investment in electric energy storage under uncertainty: a real options approach
inferred← citeshttps://doi.org/10.1016/j.eneco.2010.05.008openalex-snapshot
An empirical comparison of alternate regime-switching models for electricity spot prices
inferred← citeshttps://doi.org/10.1016/j.eneco.2012.11.013openalex-snapshot
Fitting semiparametric Markov regime-switching models to electricity spot prices
inferred← citeshttps://doi.org/10.1016/j.eneco.2014.03.018openalex-snapshot
Component estimation for electricity prices: Procedures and comparisons
inferred← citeshttps://doi.org/10.1016/j.eneco.2015.12.013openalex-snapshot
Are fundamentals enough? Explaining price variations in the German day-ahead and intraday power market
inferred← citeshttps://doi.org/10.1016/j.enpol.2015.01.010openalex-snapshot
Impact of fuel-dependent electricity retail charges on the value of net-metered PV applications in vertically integrated systems
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2014.08.008openalex-snapshot
Electricity price forecasting: A review of the state-of-the-art with a look into the future
inferred← citeshttps://doi.org/10.1016/j.jedc.2015.11.003openalex-snapshot
An options pricing approach to ramping rate restrictions at hydro power plants
inferred← citeshttps://doi.org/10.1109/eem.2015.7216700openalex-snapshot
Modeling of electricity pricing in European market simulations
inferred← citeshttps://doi.org/10.1109/eem.2017.7981950openalex-snapshot
Economic potential of water electrolysis within future electricity markets
inferred← citeshttps://doi.org/10.1109/icps.2015.7266401openalex-snapshot
Medium-term operation for an industrial customer considering demand side management and risk management
inferred← citeshttps://doi.org/10.1109/pesgm.2016.7741818openalex-snapshot
Descriptive models for hourly reserve prices in electricity market
inferred← citeshttps://doi.org/10.1109/pesgm.2018.8586552openalex-snapshot
Modeling Hourly Original Operating Reserve Prices in Electricity Market
inferred← citeshttps://doi.org/10.1109/tia.2015.2483594openalex-snapshot
Medium-term Operation for an Industrial Customer Considering Demand Side Management and Risk Management
inferred← citeshttps://doi.org/10.11575/prism/24813openalex-snapshot
Analysis and Modeling of Reserve and Regulation Prices in Competitive Electricity Markets
inferred← citeshttps://doi.org/10.11575/prism/26752openalex-snapshot
Levy driven Markov-modulated Ornstein-Uhlenbeck processes: application to Alberta electricity market
inferred← citeshttps://doi.org/10.3844/ajassp.2018.22.29openalex-snapshot
The Effects of Power Usage on Five Power Modes in South Africa Using Multivariate Techniques
inferred← citeshttps://doi.org/10.48550/arxiv.1906.07957openalex-snapshot
Estimation of Markovian-regime-switching models with independent regimes
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