Arbeitspapier
Modelling the distribution of day-ahead electricity returns: A comparison
This paper contributes to characterizing the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power (EP), and Asymmetric Exponential Power (AEP), and comparing their goodness of fit. The α-stable and the NIG systematically outperform the EP and AEP models, but the tail behaviours and the skewness are sensitive to the definition of returns and to the deseasonalization methods. In particular, the logarithmic transform and volatility rescaling tend to dampen the extreme returns.
- Language
-
Englisch
- Bibliographic citation
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Series: LEM Working Paper Series ; No. 2009/21
- Classification
-
Wirtschaft
Electric Utilities
- Subject
-
Electricity prices
α-stable
Normal Inverse Gaussian
Exponential Power
Asymmetric Exponential Power
goodness-of-fit
- Event
-
Geistige Schöpfung
- (who)
-
Sapio, Sandro
- Event
-
Veröffentlichung
- (who)
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Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
- (where)
-
Pisa
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sapio, Sandro
- Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Time of origin
- 2010
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