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Stochastic models for electricity pr...

Xiong, Lei.

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Stochastic models for electricity prices in Alberta.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic models for electricity prices in Alberta./
Author:	Xiong, Lei.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2004,
Description:	116 p.
Notes:	Source: Masters Abstracts International, Volume: 43-04, page: 1278.
Contained By:	Masters Abstracts International43-04.
Subject:	Mathematics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=MQ97588
ISBN:	9780612975880

Stochastic models for electricity prices in Alberta.
Xiong, Lei.

Stochastic models for electricity prices in Alberta. - Ann Arbor : ProQuest Dissertations & Theses, 2004 - 116 p.

Source: Masters Abstracts International, Volume: 43-04, page: 1278.

Thesis (M.Sc.)--University of Calgary (Canada), 2004.

This thesis investigates the modeling of electricity prices in the Canadian province of Alberta. We model the electricity price processes as affine jump-diffusion processes, and we are able to exploit the transform analysis of Duffle, Pan and Singleton (1996) to develop computationally tractable and asymptotically efficient estimators of the parameters. We examine six mean-reverting jump-diffusion models for modeling electricity spot prices. The models which we propose have the features of multiple types of jumps, or time-varying mean and stochastic volatility. The estimation methodologies we adopt include maximum likelihood estimation based on conditional characteristic function and spectral generalized method of moments. Extensive empirical comparisons have been conducted via these estimation methods based on actual spot hourly electricity prices in Alberta.

ISBN: 9780612975880Subjects--Topical Terms:

515831
Mathematics.

Stochastic models for electricity prices in Alberta.
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245 1 0 $a Stochastic models for electricity prices in Alberta.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2004
300 $a 116 p.
500 $a Source: Masters Abstracts International, Volume: 43-04, page: 1278.
500 $a Adviser: L. P. Bos.
502 $a Thesis (M.Sc.)--University of Calgary (Canada), 2004.
520 $a This thesis investigates the modeling of electricity prices in the Canadian province of Alberta. We model the electricity price processes as affine jump-diffusion processes, and we are able to exploit the transform analysis of Duffle, Pan and Singleton (1996) to develop computationally tractable and asymptotically efficient estimators of the parameters. We examine six mean-reverting jump-diffusion models for modeling electricity spot prices. The models which we propose have the features of multiple types of jumps, or time-varying mean and stochastic volatility. The estimation methodologies we adopt include maximum likelihood estimation based on conditional characteristic function and spectral generalized method of moments. Extensive empirical comparisons have been conducted via these estimation methods based on actual spot hourly electricity prices in Alberta.
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650 4 $a Economics. $3 517137
650 4 $a Energy. $3 876794
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