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• W2898864135 abstract "We develop a Bayesian estimation procedure for the electricity spot price model in Benth et al. (2014). This model incorporates a trend and seasonality component, a stable CARMA process for the price spikes, and an additional Lévy process for mid-range price level changes. Our MCMC algorithm has two advantages over the existing stepwise estimation procedure presented in Benth et al. (2014): First, since our algorithm produces samples from the full posterior distribution over all parameters, we can estimate the parameters much more accurately, which is shown in simulation studies. Second, we can provide accuracy measures as credibility intervals in addition to the point estimates. The approach is quite general, so that it can be adapted also to other similar pricing models. For illustration, we analyse spot and future prices from the EEX using the new Bayesian method and provide estimates for the risk premium together with credibility regions." @default.
• W2898864135 created "2018-11-09" @default.
• W2898864135 creator A5034066540 @default.
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• W2898864135 date "2019-02-01" @default.
• W2898864135 modified "2023-10-18" @default.
• W2898864135 title "Bayesian estimation of stable CARMA spot models for electricity prices" @default.
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• W2898864135 doi "https://doi.org/10.1016/j.eneco.2018.10.016" @default.
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