F. Atkins, Some statistical properties of deregulated electricity prices in Alberta, Quantitative Analysis of the Alberta Electricity Market, W. Walls, 2006.

M. Barlow, A DIFFUSION MODEL FOR ELECTRICITY PRICES, Mathematical Finance, vol.26, issue.4, pp.287-298, 2002.
DOI : 10.2307/2329512

R. Becker, A. Hurn, and V. Pavlov, Modelling Spikes in Electricity Prices*, Economic Record, vol.110, issue.263, pp.371-382, 2007.
DOI : 10.1111/j.1475-4932.2007.00427.x

H. Bessembinder and M. Lemmon, Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets, The Journal of Finance, vol.89, issue.3, pp.1347-1382, 2002.
DOI : 10.1111/1540-6261.00463

S. Borovkova, The forward curve dynamic and market transition forecasts, Modelling Prices in Competitive Electricity Markets, pp.267-284, 2004.

S. Borovkova and F. Permana, Modelling electricity prices by the potential jump-diffusion, In Stochastic Finance, 2006.
DOI : 10.1007/0-387-28359-5_9

G. Bottazzi, S. Sapio, and A. Secchi, Some statistical investigations on the nature and dynamics of electricity prices, Physica A: Statistical Mechanics and its Applications, vol.355, issue.1, pp.54-61, 2005.
DOI : 10.1016/j.physa.2005.02.065

P. Boyle, M. Broadie, and P. Glasserman, Monte Carlo methods for security pricing, Journal of Economic Dynamics and Control, vol.21, issue.8-9, pp.1267-1321, 1997.
DOI : 10.1016/S0165-1889(97)00028-6

´. A. Cartea and M. Figueroa, Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality, Applied Mathematical Finance, vol.12, issue.4, pp.313-335, 2005.
DOI : 10.1287/mnsc.46.7.893.12034

P. Cheng and O. Scaillet, LINEAR-QUADRATIC JUMP-DIFFUSION MODELING, Mathematical Finance, vol.1, issue.1, pp.575-598, 2007.
DOI : 10.1093/rfs/4.4.727

T. Christensen, A. Hurn, L. , and K. , It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices, The Energy Journal, vol.30, issue.1, pp.25-48, 2009.
DOI : 10.5547/ISSN0195-6574-EJ-Vol30-No1-2

G. Cortazar and E. Schwartz, Implementing a stochastic model for oil futures prices, Energy Economics, vol.25, issue.3, pp.215-238, 2003.
DOI : 10.1016/S0140-9883(02)00096-8

M. Coulon and S. Howison, Stochastic behaviour of the electricity bid stack: From fundamental drivers to power prices, Journal of Energy Markets, vol.2, 2009.

M. Culot, An integrated affine jump diffusion framework to manage power portfolios in a deregulated market, 2003.

Q. Dai and K. Singleton, Specification Analysis of Affine Term Structure Models, The Journal of Finance, vol.11, issue.5, pp.1943-1978, 2000.
DOI : 10.1111/0022-1082.00278

C. De-jong, The Nature of Power Spikes: A Regime-Switch Approach, Studies in Nonlinear Dynamics & Econometrics, vol.10, issue.3, 2006.
DOI : 10.2202/1558-3708.1361

P. Diko, S. Lawford, and V. Limpens, Risk Premia in Electricity Forward Prices, Studies in Nonlinear Dynamics & Econometrics, vol.10, issue.3, 2006.
DOI : 10.2202/1558-3708.1358

D. Duffie, D. Filipovi´cfilipovi´c, and W. Schachermayer, Affine processes and applications in finance, Annals of Applied Probability, vol.13, pp.984-1053, 2003.
DOI : 10.3386/t0281

D. Duffie, J. Pan, and K. Singleton, Transform Analysis and Asset Pricing for Affine Jump-diffusions, Econometrica, vol.68, issue.6, pp.1343-1376, 2000.
DOI : 10.1111/1468-0262.00164

J. Durbin and S. Koopman, Time Series Analysis by State Space Methods, 2004.
DOI : 10.1093/acprof:oso/9780199641178.001.0001

B. Eraker, Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices, The Journal of Finance, vol.19, issue.3, pp.1367-1403, 2004.
DOI : 10.1111/j.1540-6261.2004.00666.x

C. Erlwein, F. Benth, and R. Mamon, HMM filtering and parameter estimation of an electricity spot price model, Energy Economics, vol.32, issue.5, pp.1034-1043, 2010.
DOI : 10.1016/j.eneco.2010.01.005

´. A. Escribano, J. Peña, and P. Villaplana, Modelling Electricity Prices: International Evidence*, Oxford Bulletin of Economics and Statistics, vol.20, issue.5, pp.622-650, 2011.
DOI : 10.1111/j.1468-0084.2011.00632.x

H. Geman and A. Roncoroni, Understanding the Fine Structure of Electricity Prices*, The Journal of Business, vol.79, issue.3, pp.1225-1261, 2006.
DOI : 10.1086/500675
URL : https://hal.archives-ouvertes.fr/halshs-00144198

N. Haldrup, F. Nielsen, and M. Nielsen, A vector autoregressive model for electricity prices subject to long memory and regime switching, Energy Economics, vol.32, issue.5, pp.1044-1058, 2010.
DOI : 10.1016/j.eneco.2010.02.012

N. Haldrup and M. Nielsen, A regime switching long memory model for electricity prices, Journal of Econometrics, vol.135, issue.1-2, pp.349-376, 2006.
DOI : 10.1016/j.jeconom.2005.07.021

A. Harvey, S. Koopman, and N. Shephard, State Space and Unobserved Component Models: Theory and Applications, 2004.
DOI : 10.1017/CBO9780511617010

R. Huisman and R. Mahieu, Regime jumps in electricity prices, Energy Economics, vol.25, issue.5, pp.425-434, 2003.
DOI : 10.1016/S0140-9883(03)00041-0

M. Johannes, The Statistical and Economic Role of Jumps in Continuous-Time Interest Rate Models, The Journal of Finance, vol.5, issue.4, pp.227-260, 2004.
DOI : 10.1111/j.1540-6321.2004.00632.x

P. Joskow, Restructuring, Competition and Regulatory Reform in the U.S. Electricity Sector, Journal of Economic Perspectives, vol.11, issue.3, pp.119-138, 1997.
DOI : 10.1257/jep.11.3.119

T. Kanamura, ¯. Ohashi, and K. , On transition probabilities of regime switching in electricity prices, Energy Economics, vol.30, issue.3, pp.1158-1172, 2008.
DOI : 10.1016/j.eneco.2007.07.011

N. Karakatsani and D. Bunn, Diurnal reversals of electricity forward premia. mimeo: Department of Decision Sciences, 2005.

I. Karatzas and S. Shreve, Brownian Motion and Stochastic Calculus, second ed, 1999.
DOI : 10.1007/978-1-4612-0949-2

K. Kåresen and E. Husby, A joint state-space model for electricity and futures prices, Energy Power Risk Management, vol.7, 2002.

R. Kiesel, G. Schindlmayr, and R. Börger, A two-factor model for the electricity forward market, Quantitative Finance, vol.12, issue.3, pp.279-287, 2009.
DOI : 10.1016/j.enpol.2003.10.013

C. Knittel and M. Roberts, An empirical examination of restructured electricity prices, Energy Economics, vol.27, issue.5, pp.791-817, 2005.
DOI : 10.1016/j.eneco.2004.11.005

S. Koekebakker and F. Ollmar, Forward curve dynamics in the Nordic electricity market, Managerial Finance, vol.31, issue.6, pp.74-95, 2005.
DOI : 10.1108/03074350510769703

S. Koopman, M. Ooms, and M. Carnero, Periodic Seasonal Reg-ARFIMA???GARCH Models for Daily Electricity Spot Prices, Journal of the American Statistical Association, vol.102, issue.477, pp.16-27, 2007.
DOI : 10.1198/016214506000001022

J. Lucia and E. Schwartz, Electricity prices and power derivatives: Evidence from the Nordic power exchange, Review of Derivatives Research, vol.5, issue.1, pp.5-50, 2002.
DOI : 10.1023/A:1013846631785

M. Manoliu and S. Tompaidis, Energy futures prices: term structure models with Kalman filter estimation, Applied Mathematical Finance, vol.9, issue.1, pp.21-43, 2002.
DOI : 10.1287/mnsc.46.7.893.12034

A. Misiorek, S. Trueck, and R. Weron, Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models, Studies in Nonlinear Dynamics & Econometrics, vol.10, issue.3, 2006.
DOI : 10.2202/1558-3708.1362

E. Mork, Emergence of financial markets for electricity: a European perspective, Energy Policy, vol.29, issue.1, pp.7-15, 2001.
DOI : 10.1016/S0301-4215(00)00101-4

D. Pilipovi´cpilipovi´c, Energy Risk: Valuing and Managing Energy Derivatives, 1998.

B. Routledge, D. Seppi, and C. Spatt, The " Spark Spread " : An equilbrium model of cross-commodity price relationships in electricity, Graduate School of Industrial Administration, 2001.

S. Schneider, Power spot price models with negative prices. Munich Personal RePEc Archive, 2010.

E. Schwartz and J. Smith, Short-Term Variations and Long-Term Dynamics in Commodity Prices, Management Science, vol.46, issue.7, pp.893-911, 2000.
DOI : 10.1287/mnsc.46.7.893.12034

I. Simonsen, Measuring anti-correlations in the nordic electricity spot market by wavelets, Physica A: Statistical Mechanics and its Applications, vol.322, pp.597-606, 2003.
DOI : 10.1016/S0378-4371(02)01938-6

K. Singleton, Estimation of affine asset pricing models using the empirical characteristic function, Journal of Econometrics, vol.102, issue.1, pp.111-141, 2001.
DOI : 10.1016/S0304-4076(00)00092-0

R. Weron, Market price of risk implied by Asian-style electricity options and futures, Energy Economics, vol.30, issue.3, pp.1098-1115, 2008.
DOI : 10.1016/j.eneco.2007.05.004

R. Weron, M. Bierbrauer, and S. Trück, Modeling electricity prices: jump diffusion and regime switching, Physica A: Statistical Mechanics and its Applications, vol.336, issue.1-2, pp.39-48, 2004.
DOI : 10.1016/j.physa.2004.01.008

R. Weron and B. Przybyy-lowicz, Hurst analysis of electricity price dynamics, Physica A: Statistical Mechanics and its Applications, vol.283, issue.3-4, pp.462-468, 2000.
DOI : 10.1016/S0378-4371(00)00231-4

L. Wilkinson and J. And-winsen, What We Can Learn from a Statistical Analysis of Electricity Prices in New South Wales, The Electricity Journal, vol.15, issue.3, pp.60-69, 2002.
DOI : 10.1016/S1040-6190(02)00276-2