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Randomly Modulated Periodic Signals in Alberta's Electricity Market

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Author Info
Melvin Hinich (University of Texas, Austin)
Apostolos Serletis (University of Calgary)

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Abstract

This paper uses hourly electricity prices and MW hour demand for Alberta, Canada over the deregulated period after 1996 to test for randomly modulated periodicity. In doing so, we apply the signal coherence spectral analysis to the time series of hourly spot prices and megawatt-hours (MWh) demand from 1/1/1996 to 12/7/2003 using the FORTRAN 95 program developed by Hinich (2000). We detect relatively steady weekly and daily cycles in demand but very unstable cycles in prices.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 10 (2006)
Issue (Month): 3 ()
Pages: 1340-1340
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Handle: RePEc:bep:sndecm:10:2006:3:1340-1340

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Related research
Keywords: signal coherence function discrete Fourier transform

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  1. Apostolos Serletis & Akbar Shahmoradi, 2006. "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3), pages 1341-1341. [Downloadable!] (restricted)
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This page was last updated on 2008-11-19.

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