Please use this identifier to cite or link to this item:
http://arks.princeton.edu/ark:/88435/dsp01nk322g76wFull metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Cheridito, Patrick | - |
| dc.contributor.author | Gandotra, Raghav | - |
| dc.date.accessioned | 2016-06-24T13:56:32Z | - |
| dc.date.available | 2016-06-24T13:56:32Z | - |
| dc.date.created | 2016-04-12 | - |
| dc.date.issued | 2016-06-24 | - |
| dc.identifier.uri | http://arks.princeton.edu/ark:/88435/dsp01nk322g76w | - |
| dc.description.abstract | This thesis explores the dynamics of electricity price series and constructs a Marko- vian regime-switching model that can appropriately capture electricity price fluctuations. The research begins with fitting a volatility model to the data and recognizing its drawbacks, moving to an appropriate Markovian regime-switching model that can better account for the peculiar behaviour of electricity prices, in particular, their spikiness. The thesis concludes by using the Markovian regime- switching framework constructed to develop a heuristic for predicting spikes in electricity prices and discusses the applicability of this heuristic for using financial instruments to hedge against price spikes. | en_US |
| dc.format.extent | 85 pages | * |
| dc.language.iso | en_US | en_US |
| dc.title | EXPLORING ELECTRICITY PRICE DYNAMICS: FITTING A MARKOVIAN REGIME-SWITCHING GARCH(1,1) MODEL | en_US |
| dc.type | Princeton University Senior Theses | - |
| pu.date.classyear | 2016 | en_US |
| pu.department | Operations Research and Financial Engineering | en_US |
| pu.pdf.coverpage | SeniorThesisCoverPage | - |
| Appears in Collections: | Operations Research and Financial Engineering, 2000-2020 | |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| GandotraRaghav_final_thesis.pdf | 3.1 MB | Adobe PDF | Request a copy |
Items in Dataspace are protected by copyright, with all rights reserved, unless otherwise indicated.