Advanced Search
MyIDEAS: Login to save this article or follow this journal

A threshold autoregressive model for wholesale electricity prices

Contents:

Author Info

  • B. Ricky Rambharat
  • Anthony E. Brockwell
  • Duane J. Seppi
Registered author(s):

    Abstract

    We introduce a discrete time model for electricity prices which accounts for both transitory spikes and temperature effects. The model allows for different rates of mean reversion: one for weather events, one around price jumps and another for the remainder of the process. We estimate the model by using a Markov chain Monte Carlo approach with 3 years of daily data from Allegheny County, Pennsylvania. We show that our model outperforms existing stochastic jump diffusion models for this data set. Results also demonstrate the importance of model parameters corresponding to both the temperature effect and the multilevel mean reversion rate. Copyright 2005 Royal Statistical Society.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9876.2005.00484.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Royal Statistical Society in its journal Journal of the Royal Statistical Society Series C.

    Volume (Year): 54 (2005)
    Issue (Month): 2 ()
    Pages: 287-299

    as in new window
    Handle: RePEc:bla:jorssc:v:54:y:2005:i:2:p:287-299

    Contact details of provider:
    Postal: 12 Errol Street, London EC1Y 8LX, United Kingdom
    Phone: -44-171-638-8998
    Fax: -44-171-256-7598
    Email:
    Web page: http://wileyonlinelibrary.com/journal/rssc
    More information through EDIRC

    Order Information:
    Web: http://ordering.onlinelibrary.wiley.com/subs.asp?ref=1467-9876&doi=10.1111/(ISSN)1467-9876

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
    2. Sévi, Benoît & Le Pen, Yannick, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Economics Papers from University Paris Dauphine 123456789/5450, Paris Dauphine University.
    3. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
    4. Eichler Michael & Grothe Oliver & Tuerk Dennis & Manner Hans, 2012. "Modeling spike occurrences in electricity spot prices for forecasting," Research Memorandum 029, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    5. Erlwein, Christina & Benth, Fred Espen & Mamon, Rogemar, 2010. "HMM filtering and parameter estimation of an electricity spot price model," Energy Economics, Elsevier, vol. 32(5), pages 1034-1043, September.
    6. Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 13-49.
    7. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:jorssc:v:54:y:2005:i:2:p:287-299. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.