Sums of Lévy-driven Ornstein–Uhlenbeck processes are appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we show it at work for the EEX Phelix Base electricity price index. We also present a small simulation study to demonstrate the performance of our estimation procedure.
No takes yet. Share an insight, caveat, or question.
Klüppelberg et al. (2009) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: