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Book synopsis

Over the last decade, European electricity markets§have experienced rapid deregulation and§liberalisation. This has caused electricity prices to§become highly volatile and exhibiting very distinct§characteristics such as strong seasonal patterns,§extreme spikes and mean-reverting behaviour. In this§work the electricity spot and futures prices observed§at the European Energy Exchange are analysed. A§general multi-factor affine diffusion model combined§with a finite q-state Markov regime-switching process§is presented which incorporates the stylised features§of both spot and futures prices. The model is§estimated using a maximum likelihood approach where§the likelihood function is evaluated applying§Kalman/Kim filter techniques. In order to quantify§the seasonal patterns, regression models are§developped. Their results provide the seasonal§structure for the price model and also build the§basis for the construction of an hourly price forward§curve. The models performance is assessed comparing§historical and model implied price characteristics.

Book details

Book category Books in English Economics, finance, business & management Industry & industrial studies Energy industries & utilities

• Full title: Power Prices
• Subtitle: A Regime-Switching Spot/Forward Price Model with Kim Filter Estimation
• Author: Lea Bloechlinger
• Language: English
• Binding: Paperback
• Number of pages: 256
• EAN: 9783838100791
• ISBN: 3838100794
• ID: 06888837
• Publisher: Sudwestdeutscher Verlag Fur Hochschulschriften AG
• Weight: 345 g
• Dimensions: 229 × 152 × 14 mm
• Date of publishing: 19. January 2009

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