Descomponiendo los precios de la electricidad con saltos
We propose a model that decomposes electricity prices into two independent stochastic processes: one that represents the “normal” pattern of electricity prices and another that captures temporary shocks or “jumps”, with non-lasting effects in the market. Each contains specific mean reverting paramet...
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| Formato: | Online |
| Idioma: | inglés |
| Editor: |
El Colegio de México, A.C.
2005
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| Materias: | |
| Acceso en línea: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/169 |
| Revista: |
Estudios Económicos |
| authentication_code | dc |
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| _version_ | 1844256674456535040 |
| author | Martínez Chombo, Eduardo |
| author_facet | Martínez Chombo, Eduardo |
| author_sort | Martínez Chombo, Eduardo |
| category_str_mv |
"Bolivia", "hyperinflation", "economic crisis", "Bolivia", "hiperinflación", "crisis económica"
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| collection | OJS |
| description | We propose a model that decomposes electricity prices into two independent stochastic processes: one that represents the “normal” pattern of electricity prices and another that captures temporary shocks or “jumps”, with non-lasting effects in the market. Each contains specific mean reverting parameters to estimate. In order to identify such components we specify a state-space model with regime switching and apply the Kim’s (1994) filtering algorithm to estimate the model for the mean adjusted series of New South Wales’ electricity prices. Finally, bootstrap simulations were performed to estimate the expected contribution of each of the components in the overall electricity prices. |
| format | Online |
| id | oai:oai.estudioseconomicos.colmex.mx:article-169 |
| index_str_mv | CONAHCYT LATINDEX PKP Index DORA Redalyc Scielo México Handbook of Latin American Studies (HLAS) JSTOR Dialnet HAPI Ulrich’s International Periodicals Directory Google Scholar IBSS Gale OneFile: Informe Académico Global Issues in Context InfoTracCustom Cengage Learning EconLit Índice bibliográfico Publindex RePEc The Journal of Economic Literature |
| journal | Estudios Económicos |
| language | eng |
| publishDate | 2005 |
| publisher | El Colegio de México, A.C. |
| record_format | ojs |
| Terms_governing_use_and_reproduction_note | Copyright (c) 2018 Estudios Económicos |
| data_source_entry/ISSN | Estudios Económicos de El Colegio de México; 39-vol. 20, no. 1, january-june, 2005; 27-52 Estudios Económicos de El Colegio de México; 39-vol. 20, núm. 1, enero-junio, 2005; 27-52 0186-7202 0188-6916 |
| spelling | oai:oai.estudioseconomicos.colmex.mx:article-1692023-02-20T23:40:25Z Decomposing electricity prices with jumps Descomponiendo los precios de la electricidad con saltos Martínez Chombo, Eduardo electricity prices mean-reversion jump modelling markov switching models state-space representation energy finance C51 C52 C53 Q41 precios de electricidad finanzas de energía representación estado-espacio C51 C52 C53 Q41 We propose a model that decomposes electricity prices into two independent stochastic processes: one that represents the “normal” pattern of electricity prices and another that captures temporary shocks or “jumps”, with non-lasting effects in the market. Each contains specific mean reverting parameters to estimate. In order to identify such components we specify a state-space model with regime switching and apply the Kim’s (1994) filtering algorithm to estimate the model for the mean adjusted series of New South Wales’ electricity prices. Finally, bootstrap simulations were performed to estimate the expected contribution of each of the components in the overall electricity prices. Se propone un modelo para descomponer los precios de la electricidad en dos procesos estocásticos sin dependientes: uno que representa el comportamiento “normal” de los precios y otro que capture los “saltos” temporales. Para cada componente se especifica un parámetro de reversión a la media. Para identificar tales componentes especificamos un modelo estado-espacio con cambio de régimen. Al utilizar los precios de la electricidad de Nueva Gales del Sur estimamos el modelo aplicando la metodología de Kim (1994). Finalmente, se realizaron simulaciones con el método bootstrap para estimar la contribución esperada de cada componente en el precio total de la electricidad. El Colegio de México, A.C. 2005-01-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/169 10.24201/ee.v20i1.169 Estudios Económicos de El Colegio de México; 39-vol. 20, no. 1, january-june, 2005; 27-52 Estudios Económicos de El Colegio de México; 39-vol. 20, núm. 1, enero-junio, 2005; 27-52 0186-7202 0188-6916 eng https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/169/171 Copyright (c) 2018 Estudios Económicos |
| spellingShingle | electricity prices mean-reversion jump modelling markov switching models state-space representation energy finance C51 C52 C53 Q41 precios de electricidad finanzas de energía representación estado-espacio C51 C52 C53 Q41 Martínez Chombo, Eduardo Descomponiendo los precios de la electricidad con saltos |
| title | Descomponiendo los precios de la electricidad con saltos |
| title_alt | Decomposing electricity prices with jumps |
| title_full | Descomponiendo los precios de la electricidad con saltos |
| title_fullStr | Descomponiendo los precios de la electricidad con saltos |
| title_full_unstemmed | Descomponiendo los precios de la electricidad con saltos |
| title_short | Descomponiendo los precios de la electricidad con saltos |
| title_sort | descomponiendo los precios de la electricidad con saltos |
| topic | electricity prices mean-reversion jump modelling markov switching models state-space representation energy finance C51 C52 C53 Q41 precios de electricidad finanzas de energía representación estado-espacio C51 C52 C53 Q41 |
| topic_facet | electricity prices mean-reversion jump modelling markov switching models state-space representation energy finance C51 C52 C53 Q41 precios de electricidad finanzas de energía representación estado-espacio C51 C52 C53 Q41 |
| url | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/169 |
| work_keys_str_mv | AT martinezchomboeduardo decomposingelectricitypriceswithjumps AT martinezchomboeduardo descomponiendolospreciosdelaelectricidadconsaltos |