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Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis

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  • Bruno Bosco

    ()

  • Lucia Parisio
  • Matteo Pelagatti

Abstract

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File URL: http://hdl.handle.net/10.1007/s11294-007-9105-z
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Bibliographic Info

Article provided by Springer in its journal International Advances in Economic Research.

Volume (Year): 13 (2007)
Issue (Month): 4 (November)
Pages: 415-432

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Handle: RePEc:kap:iaecre:v:13:y:2007:i:4:p:415-432

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Web page: http://www.springerlink.com/link.asp?id=112112

Related research

Keywords: Electricity auctions; Periodic time series; Conditional heteroskedasticity; Multiple seasonalities; C22; D44; L94; Q40;

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References

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  1. Fabra, Natalia & Toro, Juan, 2005. "Price wars and collusion in the Spanish electricity market," International Journal of Industrial Organization, Elsevier, vol. 23(3-4), pages 155-181, April.
  2. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. Bystrom, Hans N. E., 2005. "Extreme value theory and extremely large electricity price changes," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 41-55.
  4. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030.
  5. Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
  6. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
  7. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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Citations

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Cited by:
  1. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2007. "A robust multivariate long run analysis of European electricity prices," Working Papers 20070901, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  2. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
  3. Tashpulatov, Sherzod N., 2013. "Estimating the volatility of electricity prices: The case of the England and Wales wholesale electricity market," Energy Policy, Elsevier, vol. 60(C), pages 81-90.
  4. Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei.
  5. G. Papaioannou & P. Papaioannou & N. Parliaris, 2014. "Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market," Papers 1401.5452, arXiv.org.
  6. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2010. "Long-run relations in european electricity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(5), pages 805-832.
  7. Sandro Sapio, 2009. "Modelling the distribution of day-ahead electricity returns: a comparison," LEM Papers Series 2009/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  8. Andrea Petrella & Sandro Sapio, 2010. "No PUN intended: A time series analysis of the Italian day-ahead electricity prices," RSCAS Working Papers 2010/03, European University Institute.
  9. Serinaldi, Francesco, 2010. "Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(14), pages 2770-2781.
  10. repec:hal:journl:halshs-00259225 is not listed on IDEAS
  11. Florian Ziel & Rick Steinert, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org.

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