Statistical market-adjusted auto-regressive term model; simulation of long-term el-spot prices

Kåresen, Kjetil F.; Laading, Jacob K.

January 01, 2000

SAMBA

• Areas:
• Keywords: Electricity price, simulation, multiplicative model, geometric AR, forward curve, implied volatility, market constraint
• Page(s): 76
• Name and number of project: 693014, Marked based simulation model for long-term spot prices of electricity (ELSIM 99)
• Title: Statistical market-adjusted auto-regressive term model; simulation of long-term el-spot prices
• Author(s): Kåresen, Kjetil F.; Laading, Jacob K.
• Report number: SAMBA/02/00
• Published date: January 01, 2000