Long-term memory in electricity prices: Czech market evidence
AbstractWe analyze long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles -- mainly intraday and daily -- we opt for the detrended fluctuation analysis, which is well suited for such specific series. We find that the electricity prices are non-stationary but strongly mean-reverting which distinguishes them from other financial assets which are usually characterized as unit root series. Such description is attributed to specific features of electricity prices, mainly to non-storability. Additionally, we argue that the rapid mean-reversion is due to the principles of electricity spot prices. These properties are shown to be stable across all studied years.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1309.0582.
Date of creation: Sep 2013
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Web page: http://arxiv.org/
Other versions of this item:
- Ladislav KRISTOUFEK & Petra LUNACKOVA, 2013. "Long-term Memory in Electricity Prices: Czech Market Evidence," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(5), pages 407-424, November.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-13 (All new papers)
- NEP-ENE-2013-09-13 (Energy Economics)
- NEP-REG-2013-09-13 (Regulation)
- NEP-TRA-2013-09-13 (Transition Economics)
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