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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Détails bibliographiques

Auteur principal:	Martínez Chombo, Eduardo
Format:	Online
Langue:	anglais
Éditeur:	El Colegio de México, A.C. 2005
Sujets:	representación estado-espacio finanzas de energía precios de electricidad Q41 C53 C52 C51 energy finance state-space representation markov switching models jump modelling mean-reversion electricity prices
Accès en ligne:	https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/169
Institution:	Estudios Económicos