Browsing School of Mathematical Sciences by Author "Palczewski, J"
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Bayesian calibration and number of jump components in electricity spot price models
Gonzalez, J; MORIARTY, JM; Palczewski, J (Elsevier, 2017-05-03)Abstract We find empirical evidence that mean-reverting jump processes are not statistically adequate to model electricity spot price spikes but independent, signed sums of such processes are statistically adequate. Further ... -
Imbalance market real options and the valuation of storage in future energy systems
MORIARTY, JM; Palczewski, J (MDPI AG, 2019)As decarbonisation progresses and conventional thermal generation gradually gives way to other technologies including intermittent renewables, there is an increasing requirement for system balancing from new and also ... -
Real option valuation for reserve capacity
MORIARTY, JM; Palczewski, J