Concepedia

HMM filtering and parameter estimation of an electricity spot price model

Christina Erlwein, Fred Espen Benth, Rogemar Mamon

Energy Economics · 2010 · 65 citations · 17 references

Open access

Concepts

ComputingEconomicsEnergy EconomicsForecastingTime Series AnalysisBayesian FilteringElectricity MarketsHidden Markov ModelsParameter EstimationState-space ModelsTime Series ForecastingElectricity Market AnalysisElectricity Price ForecastingElectricity Price FormationElectricity Price VolatilityFilteringHidden State InferenceSpot Electricity Markets

References

17

Option pricing when underlying stock returns are discontinuous

Robert C. Merton · Journal of Financial Economics · 1976 · 6.1K citations · Full text

Business, Finance, Asset Pricing +16

Day-Ahead Electricity Price Forecasting Using the Wavelet Transform and ARIMA Models

Antonio J. Conejo, M.A. Plazas, Rosa Espínola et al. · IEEE Transactions on Power Systems · 2005 · 975 citations

Computing, Economics, Electrical Engineering +17

Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

Julio J. Lucia, Eduardo S. Schwartz · Review of Derivatives Research · 2002 · 952 citations

Natural Resources, Economics, Electrical Engineering +17

Hidden Markov Models

Vittorio Maniezzo, p calcolare · 2004 · 396 citations

Regime jumps in electricity prices

Ronald Huisman, Ronald Mahieu · Energy Economics · 2003 · 353 citations · Full text

Natural Resources, Economics, Risk Management +17