HMM filtering and parameter estimation of an electricity spot price model

@inproceedings{Erlwein2010HMMFA,
  title={HMM filtering and parameter estimation of an electricity spot price model},
  author={Christina Erlwein and Fred E. Benth and Rogemar Mamon},
  year={2010}
}
In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process. In this way, the model allows for mean-reversion and possible jumps. All parameters are modulated by a hidden Markov chain in discrete time. They are able to switch between different economic regimes representing the interaction of various factors. Through the application of reference probability… CONTINUE READING

Figures from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 24 CITATIONS

References

Publications referenced by this paper.
SHOWING 1-10 OF 18 REFERENCES

An affine jump diffusion model for electricity

M. Culot, V. Goffin, S. Lawford, S. de Menten
  • Working paper, Université Catholique de Louvain
  • 2006

The nature of power spikes: a regime-switch approach

C. De Jong
  • ERIM Report Series Reference No. ERS-2005-052-F&A Available at SSRN: http://ssrn.com/abstract=828173
  • 2005
VIEW 2 EXCERPTS

Modelling electriciy price risk

R. Elliott, G. Sick, M. Stein
  • Technical Report,
  • 2003
VIEW 1 EXCERPT