Imperial College London
Alternate

ProfessorAlmutVeraart

Faculty of Natural Sciences, Department of Mathematics

Head of the Statistics Section, Professor of Statistics
 
 
 
//

Contact

 

+44 (0)20 7594 8545a.veraart Website

 
 
//

Location

 

551Huxley BuildingSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@inbook{Veraart:2015,
author = {Veraart, AED},
booktitle = {Stochastics of Environmental and Financial Economics},
editor = {Benth and Di, Nunno},
pages = {321--340},
publisher = {Springer},
title = {Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes},
url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2561901},
year = {2015}
}
Download

RIS format (EndNote, RefMan)

TY  - CHAP
AB  - This paper studies the impact of wind power production on electricity prices in the European energy market.We propose a new modelling framework based on so-called regime-switching Levy semistationary processes to account for forward-looking information consisting of predicted wind power generation.  We show that our new regime-switching model, where the regime switch depends on the so-called wind penetration index, can describe recent electricity price data very well.
AU  - Veraart,AED
EP  - 340
PB  - Springer
PY  - 2015///
SP  - 321
TI  - Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes
T1  - Stochastics of Environmental and Financial Economics
UR  - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2561901
ER  -
Download