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- W2000235364 abstract "Stochastic models of electricity prices have been used extensively during the last few years to describe prices fluctuations in deregulated power markets. Regime-switching models seem good candidates to capture the main features of electricity prices dynamics as the mean-reversion property as well the presence of jumps and spikes. Since they offer the possibility to introduce various mean-reversion rates, volatility and jumps, depending on the state of the system, such models allow to describe the properties of the stable motion and of the spike dynamics in a very flexible way. In this paper, two-regime and three-regime models are discussed, and a comparison performed on market data, is proposed." @default.
- W2000235364 created "2016-06-24" @default.
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- W2000235364 date "2006-11-01" @default.
- W2000235364 modified "2023-10-01" @default.
- W2000235364 title "Regime-switching characterization of electricity prices dynamics" @default.
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- W2000235364 doi "https://doi.org/10.1016/j.physa.2006.03.040" @default.
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