Publication Date:
2016
abstract:
A second order jumpless stochastic dynamic model in continuous time, able to support upward and downward spike patterns typical of electricity prices, is reviewed and compared to market data.
Iris type:
2.1 Contributo in volume (Capitolo o Saggio)
Keywords:
electricity market economics; nonlinear time series analysis; Stochastic processes; Marketing; Energy Engineering and Power Technology; Fuel Technology
List of contributors:
Lucheroni, Carlo; Mari, Carlo
Book title:
13th International Conference on the European Energy Market, EEM 2016; Porto; Portugal; 6 - 9 June 2016