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.

Sprache
Englisch

Erschienen in
Series: LEM Working Paper Series ; No. 2009/21

Klassifikation
Wirtschaft
Electric Utilities
Thema
Electricity prices
α-stable
Normal Inverse Gaussian
Exponential Power
Asymmetric Exponential Power
goodness-of-fit

Ereignis
Geistige Schöpfung
(wer)
Sapio, Sandro
Ereignis
Veröffentlichung
(wer)
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
(wo)
Pisa
(wann)
2010

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Sapio, Sandro
  • Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)

Entstanden

  • 2010

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