Stochastic multifactor modeling of spot electricity prices

@article{Hayfavi2014StochasticMM,
  title={Stochastic multifactor modeling of spot electricity prices},
  author={Azize Hayfavi and Irem Talasli},
  journal={J. Computational Applied Mathematics},
  year={2014},
  volume={259},
  pages={434-442}
}
In this paper, a stochastic multifactor model is proposed for modeling of the daily spot market electricity prices. Stochastic part of themodel is composed of three jump processes and a Brownian motion where two of the jump processes are assumed to be mean reverting with different mean reversion rates. The multistep algorithm proposed for model estimation utilizes an iterative threshold function (constructed on GARCH(1,1) volatility estimates) in separation of the jumps. The factor model is… CONTINUE READING

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