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1. Electricity spot price modelling with a view towards extreme spike risk

Author

Klüppelberg, C., Meyer-Brandis, T., Schmidt, A. and Lehrstuhl für Mathematische Statistik

Subjects
ddc
Abstract

Sums of Lévy-driven Ornstein-Uhlenbeck processes seem appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we show it at work for the EEX Phelix Base electricity price index. We also present a small simulation study to show the performance of our estimation procedure.

Published
2009

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