Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/89329 
Authors: 
Year of Publication: 
2010
Series/Report no.: 
LEM Working Paper Series No. 2009/21
Publisher: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Abstract: 
This paper contributes to characterizing the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power (EP), and Asymmetric Exponential Power (AEP), and comparing their goodness of fit. The α-stable and the NIG systematically outperform the EP and AEP models, but the tail behaviours and the skewness are sensitive to the definition of returns and to the deseasonalization methods. In particular, the logarithmic transform and volatility rescaling tend to dampen the extreme returns.
Subjects: 
Electricity prices
α-stable
Normal Inverse Gaussian
Exponential Power
Asymmetric Exponential Power
goodness-of-fit
JEL: 
C16
L94
Document Type: 
Working Paper

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