Part 1: 20-21 October 2009, Amsterdam
1. Stochastic modelling of energy spot prices
- Overview of modelling approaches
- Stylised facts -seasonality, spikes, heavy tails and volatility
- Load and weather
- Modelling of spikes with jump processes
- Regime switching models
- Multi factor models
- Estimation and simulation
- Market price of risk
- Forecasting spot prices with time series models
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