Re: implementing clustering and jumps for power

---------------------- Forwarded by Vince J Kaminski/HOU/ECT on 03/31/2001
10:11 AM ---------------------------

Tanya Tamarchenko
03/29/2001 01:49 PM
To: Frank Hayden/Corp/Enron
cc: Vince J Kaminski/HOU/ECT@ECT, Jaesoo Lew/NA/Enron@ENRON, Jason
Sokolov/HOU/ECT@ECT, Rakesh Bharati/NA/Enron@Enron, Rabi De/NA/Enron@ENRON
Subject: Re: implementing clustering and jumps for power

Frank,
our VAR team has been looking at different ways to implement clustering and
jumps for power prices simulation
in VAR.
I attached the suggestion we came up with and the results of clustering and
jump parameters estimation.
Would you like to discuss this methodology? We need your input.

Please, let me know,

Thank you,

Tanya.