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Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?

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Author Info

  • Wild, Phillip
  • Hinich, Melvin J.
  • Foster, John

Abstract

In this article, we use half hourly spot electricity prices and load data for the National Electricity Market (NEM) of Australia for the period from December 1998 to June 2009 to test for episodic nonlinearity in the dynamics governing daily and weekly cycles in load and spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) to the time series of half hourly spot prices and load demand from 7/12/1998 to 30/06/2009 using a FORTRAN 95 program. We find the presence of significant third and fourth-order (nonlinear) serial dependence in the weekly load and spot price data in particular, but to a much more marginal extent, in the daily data.

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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 32 (2010)
Issue (Month): 5 (September)
Pages: 1082-1091

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Handle: RePEc:eee:eneeco:v:32:y:2010:i:5:p:1082-1091

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Web page: http://www.elsevier.com/locate/eneco

Related research

Keywords: Nonlinearity Portmanteau tests Bicorrelation Tricorrelation Trimming Deep structure;

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References

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  1. repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
  2. Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 175-195, April.
  3. John Foster & Melvin Hinich & Phillip Wild, 2008. "Randomly Modulated Periodic Signals in Australias National Electricity Market," Energy Economics and Management Group Working Papers 2-2008, School of Economics, University of Queensland, Australia.
  4. repec:ebl:ecbull:v:7:y:2005:i:6:p:1-5 is not listed on IDEAS
  5. Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2007. "GARCH inadequacy for modelling exchange rates: empirical evidence from Latin America," Applied Economics, Taylor & Francis Journals, vol. 39(19), pages 2529-2533.
  6. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  7. Hinich, Melvin A. & Wild, Phillip, 2001. "Testing Time-Series Stationarity Against An Alternative Whose Mean Is Periodic," Macroeconomic Dynamics, Cambridge University Press, vol. 5(03), pages 380-412, June.
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Cited by:
  1. Joseph Mullins & Liam Wagner & John Foster, 2010. "Price Spikes in Electricity Markets: A Strategic Perspective," Energy Economics and Management Group Working Papers 05, School of Economics, University of Queensland, Australia.
  2. Rabindra Nepal & John Foster, 2013. "Testing for Market Integration in the Australian National Electricity Market," Energy Economics and Management Group Working Papers 11-2013, School of Economics, University of Queensland, Australia.

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