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HMM filtering and parameter estimation of an electricity spot price model

Citations

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Cited by:

  1. Date, Paresh & Mamon, Rogemar & Tenyakov, Anton, 2013. "Filtering and forecasting commodity futures prices under an HMM framework," Energy Economics, Elsevier, vol. 40(C), pages 1001-1013.
  2. Chen, Yiyang & Mamon, Rogemar & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Renewable energy and economic growth: A Markov-switching approach," Energy, Elsevier, vol. 244(PB).
  3. repec:dui:wpaper:1502 is not listed on IDEAS
  4. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  5. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  6. Ernstsen, Rune Ramsdal & Boomsma, Trine Krogh & Tegnér, Martin & Skajaa, Anders, 2017. "Hedging local volume risk using forward markets: Nordic case," Energy Economics, Elsevier, vol. 68(C), pages 490-514.
  7. Tafakori, Laleh & Pourkhanali, Armin & Fard, Farzad Alavi, 2018. "Forecasting spikes in electricity return innovations," Energy, Elsevier, vol. 150(C), pages 508-526.
  8. Papadimitriou, Theophilos & Gogas, Periklis & Stathakis, Efthimios, 2014. "Forecasting energy markets using support vector machines," Energy Economics, Elsevier, vol. 44(C), pages 135-142.
  9. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
  10. Godin, Frédéric & Ibrahim, Zinatu, 2021. "An analysis of electricity congestion price patterns in North America," Energy Economics, Elsevier, vol. 102(C).
  11. Khatereh Ghasvarian Jahromi & Davood Gharavian & Hamid Reza Mahdiani, 2023. "Wind power prediction based on wind speed forecast using hidden Markov model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(1), pages 101-123, January.
  12. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  13. Zheng Xu, 2016. "An alternative circular smoothing method to nonparametric estimation of periodic functions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(9), pages 1649-1672, July.
  14. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
  15. Viviana Fanelli & Claudio Fontana & Francesco Rotondi, 2023. "A hidden Markov model for statistical arbitrage in international crude oil futures markets," Papers 2309.00875, arXiv.org, revised Sep 2024.
  16. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
  17. Rypdal, Martin & Løvsletten, Ola, 2013. "Modeling electricity spot prices using mean-reverting multifractal processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 194-207.
  18. Mehrdoust, Farshid & Noorani, Idin & Kanniainen, Juho, 2024. "Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 228-269.
  19. Zachmann, Georg, 2013. "A stochastic fuel switching model for electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 5-13.
  20. Bevis, Leah E.M. & Naschold, Felix & Rao, Tanvi, 2019. "An unequal burden: Intra-household dimensions of seasonal health in Tanzania," Food Policy, Elsevier, vol. 89(C).
  21. Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, August.
  22. Volk-Makarewicz, Warren & Borovkova, Svetlana & Heidergott, Bernd, 2022. "Assessing the impact of jumps in an option pricing model: A gradient estimation approach," European Journal of Operational Research, Elsevier, vol. 298(2), pages 740-751.
  23. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
  24. Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
  25. Pape, Christian & Hagemann, Simon & Weber, Christoph, 2016. "Are fundamentals enough? Explaining price variations in the German day-ahead and intraday power market," Energy Economics, Elsevier, vol. 54(C), pages 376-387.
  26. Xiong, Heng & Mamon, Rogemar, 2019. "A higher-order Markov chain-modulated model for electricity spot-price dynamics," Applied Energy, Elsevier, vol. 233, pages 495-515.
  27. Heng Xiong & Rogemar Mamon, 2018. "Putting a price tag on temperature," Computational Management Science, Springer, vol. 15(2), pages 259-296, June.
  28. Fuqi Chen & Rogemar Mamon & Sévérien Nkurunziza, 2018. "Inference for a change-point problem under a generalised Ornstein–Uhlenbeck setting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(4), pages 807-853, August.
  29. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  30. Egil Ferkingstad & Anders L{o}land, 2014. "Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market," Papers 1406.6862, arXiv.org.
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