An empirical comparison of alternate regime-switching models for electricity spot prices

  title={An empirical comparison of alternate regime-switching models for electricity spot prices},
  author={Joanna Janczura and Rafax0142 Weron},
a r t i c l e i n f o Keywords: Electricity spot price Spikes Markov regime-switching Heteroscedasticity Inverse leverage effect One of the most profound features of electricity spot prices are the price spikes. Markov regime-switching (MRS) models seem to be a natural candidate for modeling this spiky behavior. However, in the studies published so far, the goodness-of-fit of the proposed models has not been a major focus. While most of the models were elegant, their fit to empirical data has… CONTINUE READING
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