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2012 | 22 | 1 | 13-49

Article title

A hybrid SETARX model for spikes in tight electricity markets

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EN

Abstracts

EN
The paper discusses a simple looking but highly nonlinear regime-switching, self-excited threshold model for hourly electricity prices in continuous and discrete time. The regime structure of the model is linked to organizational features of the market. In continuous time, the model can include spikes without using jumps, by defining stochastic orbits. In passing from continuous time to discrete time, the stochastic orbits survive discretization and can be identified again as spikes. A calibration technique suitable for the discrete version of this model, which does not need deseasonalization or spike filtering, is developed, tested and applied to market data. The discussion of the properties of the model uses phase-space analysis, an approach uncommon in econometrics.

Year

Volume

22

Issue

1

Pages

13-49

Physical description

Contributors

  • School of Science and Technologies, University of Camerino, via M. delle Carceri 9, 62032 Camerino (MC), Italy

References

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Document Type

Publication order reference

Identifiers

YADDA identifier

bwmeta1.element.desklight-577c5e3e-88e1-4cb7-b376-42dae2caaf6e
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