Imperial College London
Alternate

ProfessorAlmutVeraart

Faculty of Natural Sciences, Department of Mathematics

Head of the Statistics Section, Professor of Statistics
 
 
 
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Contact

 

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

 
 
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Location

 

551Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@unpublished{Rowinska:2018,
author = {Rowinska, P and Veraart, A and Gruet, P},
publisher = {SSRN},
title = {A multifactor approach to modelling the impact of wind energy on electricity spot prices},
url = {http://hdl.handle.net/10044/1/57304},
year = {2018}
}
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RIS format (EndNote, RefMan)

TY  - UNPB
AB  - We  introduce  a  three-factor  model  of  electricity  spot  prices,  consisting  of  a  determinis-tic  seasonality  and  trend  function  as  well  as  short-  and  long-term  stochastic  components,and  derive  a  formula  for  futures  prices.   The  long-term  component  is  modelled  as  a  L evyprocess with increments belonging to the class of generalised hyperbolic distributions.  We de-scribe the short-term factor by L evy semistationary processes:  we start from a CARMA(2,1),i.e.  a  continous-time  ARMA  model,  and  generalise  it  by  adding  a  short-memory  stochasticvolatility.  We further modify the model by including the information about the wind energyproduction  as  an  exogenous  variable.   We  fit  our  models  to  German  and  Austrian  data  in-cluding spot and futures prices as well as the wind energy production and total load data.Empirical studies reveal that taking into account the impact of the wind energy generation onthe prices improves the goodness of fit.
AU  - Rowinska,P
AU  - Veraart,A
AU  - Gruet,P
PB  - SSRN
PY  - 2018///
TI  - A multifactor approach to modelling the impact of wind energy on electricity spot prices
UR  - http://hdl.handle.net/10044/1/57304
ER  -
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