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Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters

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Cited by:

  1. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Stephen Machin & Olivier Marie & Sunčica Vujić, 2012. "Youth Crime and Education Expansion," German Economic Review, Verein für Socialpolitik, vol. 13(4), pages 366-384, November.
  3. Huisman, Ronald & Mahieu, Ronald & Schlichter, Felix, 2009. "Electricity portfolio management: Optimal peak/off-peak allocations," Energy Economics, Elsevier, vol. 31(1), pages 169-174, January.
  4. Mari, Carlo & Cananà, Lucianna, 2012. "Markov switching of the electricity supply curve and power prices dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1481-1488.
  5. Fanelli, Viviana & Maddalena, Lucia & Musti, Silvana, 2016. "Modelling electricity futures prices using seasonal path-dependent volatility," Applied Energy, Elsevier, vol. 173(C), pages 92-102.
  6. Shao, Zhen & Zheng, Qingru & Yang, Shanlin & Gao, Fei & Cheng, Manli & Zhang, Qiang & Liu, Chen, 2020. "Modeling and forecasting the electricity clearing price: A novel BELM based pattern classification framework and a comparative analytic study on multi-layer BELM and LSTM," Energy Economics, Elsevier, vol. 86(C).
  7. Herrera, Rodrigo & González, Nicolás, 2014. "The modeling and forecasting of extreme events in electricity spot markets," International Journal of Forecasting, Elsevier, vol. 30(3), pages 477-490.
  8. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
  9. Carlo Fezzi & Derek Bunn, 2010. "Structural Analysis of Electricity Demand and Supply Interactions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(6), pages 827-856, December.
  10. Kanamura, Takashi & O[combining macron]hashi, Kazuhiko, 2008. "On transition probabilities of regime switching in electricity prices," Energy Economics, Elsevier, vol. 30(3), pages 1158-1172, May.
  11. Chi-Keung Woo, Ira Horowitz, Brian Horii, Ren Orans, and Jay Zarnikau, 2012. "Blowing in the Wind: Vanishing Payoffs of a Tolling Agreement for Natural-gas-fired Generation of Electricity in Texas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  12. De Sanctis, Angela & Mari, Carlo, 2007. "Modelling spikes in electricity markets using excitable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 457-467.
  13. Zarnikau, J. & Tsai, C.H. & Woo, C.K., 2020. "Determinants of the wholesale prices of energy and ancillary services in the U.S. Midcontinent electricity market," Energy, Elsevier, vol. 195(C).
  14. Woo, C.K. & Shiu, A. & Liu, Y. & Luo, X. & Zarnikau, J., 2018. "Consumption effects of an electricity decarbonization policy: Hong Kong," Energy, Elsevier, vol. 144(C), pages 887-902.
  15. Sandro Sapio, 2012. "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
  16. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  17. Bosco, Bruno & Parisio, Lucia & Pelagatti, Matteo & Baldi, Fabio, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," International Energy Markets Working Papers 7438, Fondazione Eni Enrico Mattei (FEEM).
  18. Heikki Peura & Derek W. Bunn, 2015. "Dynamic Pricing of Peak Production," Operations Research, INFORMS, vol. 63(6), pages 1262-1279, December.
  19. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
  20. Milstein, Irena & Tishler, Asher, 2012. "The inevitability of capacity underinvestment in competitive electricity markets," Energy Economics, Elsevier, vol. 34(1), pages 62-77.
  21. Pawel Maryniak & Rafal Weron, 2014. "Forecasting the occurrence of electricity price spikes in the UK power market," HSC Research Reports HSC/14/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  22. 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.
  23. Rasmussen, Lisa Buth & Bacher, Peder & Madsen, Henrik & Nielsen, Henrik Aalborg & Heerup, Christian & Green, Torben, 2016. "Load forecasting of supermarket refrigeration," Applied Energy, Elsevier, vol. 163(C), pages 32-40.
  24. Kosater, Peter, 2006. "On the impact of weather on German hourly power prices," Discussion Papers in Econometrics and Statistics 1/06, University of Cologne, Institute of Econometrics and Statistics.
  25. Higgs, Helen & Worthington, Andrew, 2008. "Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market," Energy Economics, Elsevier, vol. 30(6), pages 3172-3185, November.
  26. Timothy Christensen & Stan Hurn & Kenneth Lindsay, 2009. "It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 25-48.
  27. A. Stan Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2016. "A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 707-733, June.
  28. Cyril Martin de Lagarde & Frédéric Lantz, 2017. "Impact of Variable Renewable Production on Electriciy Prices in Germany : A Markov Switching Model," Working Papers hal-03187020, HAL.
  29. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  30. Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
  31. Eichler, M. & Grothe, O. & Manner, H. & Türk, D.D.T., 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).
  32. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  33. Muche, Thomas, 2009. "A real option-based simulation model to evaluate investments in pump storage plants," Energy Policy, Elsevier, vol. 37(11), pages 4851-4862, November.
  34. Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
  35. Gerster, Andreas, 2016. "Negative price spikes at power markets: The role of energy policy," Ruhr Economic Papers 636, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  36. Yepes Rodri­guez, Ramón, 2008. "Real option valuation of free destination in long-term liquefied natural gas supplies," Energy Economics, Elsevier, vol. 30(4), pages 1909-1932, July.
  37. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
  38. Mari, Carlo & Tondini, Daniela, 2010. "Regime switches induced by supply–demand equilibrium: a model for power-price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4819-4827.
  39. Liu, Luyao & Bai, Feifei & Su, Chenyu & Ma, Cuiping & Yan, Ruifeng & Li, Hailong & Sun, Qie & Wennersten, Ronald, 2022. "Forecasting the occurrence of extreme electricity prices using a multivariate logistic regression model," Energy, Elsevier, vol. 247(C).
  40. Andreas Gerster, 2016. "Negative price spikes at power markets: the role of energy policy," Journal of Regulatory Economics, Springer, vol. 50(3), pages 271-289, December.
  41. Zachmann, Georg, 2013. "A stochastic fuel switching model for electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 5-13.
  42. Antonio Bello & Javier Reneses & Antonio Muñoz, 2016. "Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case," Energies, MDPI, vol. 9(3), pages 1-27, March.
  43. Bruno Bosco & Lucia Parisio & Matteo Pelagatti & Fabio Baldi, 2006. "Deregulated Wholesale Electricity Prices in Europe," Working Papers 20061001, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.
  44. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
  45. Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron, 2014. "Modelling price spikes in electricity markets - the impact of load, weather and capacity," HSC Research Reports HSC/14/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  46. Eichler, M. & Türk, D.D.T., 2012. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  47. Woo, C.K. & Zarnikau, J. & Moore, J. & Horowitz, I., 2011. "Wind generation and zonal-market price divergence: Evidence from Texas," Energy Policy, Elsevier, vol. 39(7), pages 3928-3938, July.
  48. Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(1), pages 13-49.
  49. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
  50. Woo, C.K. & Moore, J. & Schneiderman, B. & Ho, T. & Olson, A. & Alagappan, L. & Chawla, K. & Toyama, N. & Zarnikau, J., 2016. "Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets," Energy Policy, Elsevier, vol. 92(C), pages 299-312.
  51. Chi-Keung Woo, Ira Horowitz, Jay Zarnikau, Jack Moore, Brendan Schneiderman, Tony Ho, and Eric Leung, 2016. "What Moves the Ex Post Variable Profit of Natural-Gas-Fired Generation in California?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  52. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  53. Haugom, Erik & Ullrich, Carl J., 2012. "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, vol. 34(6), pages 1826-1833.
  54. Daglish, Toby & de Bragança, Gabriel Godofredo Fiuza & Owen, Sally & Romano, Teresa, 2021. "Pricing effects of the electricity market reform in Brazil," Energy Economics, Elsevier, vol. 97(C).
  55. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  56. Adam E. Clements & A. Stan Hurn & Zili Li, 2017. "The Effect of Transmission Constraints on Electricity Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  57. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  58. Lindström, Erik & Norén, Vicke & Madsen, Henrik, 2015. "Consumption management in the Nord Pool region: A stability analysis," Applied Energy, Elsevier, vol. 146(C), pages 239-246.
  59. Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015. "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, vol. 48(3), pages 245-284, December.
  60. Rubin, Ofir David, 2010. "Equilibrium pricing in electricity markets with wind power," ISU General Staff Papers 201001010800002361, Iowa State University, Department of Economics.
  61. Mosquera-López, Stephanía & Uribe, Jorge M. & Manotas-Duque, Diego Fernando, 2017. "Nonlinear empirical pricing in electricity markets using fundamental weather factors," Energy, Elsevier, vol. 139(C), pages 594-605.
  62. Yuhai Hu & Boris Defourny, 2022. "Optimal price-threshold control for battery operation with aging phenomenon: a quasiconvex optimization approach," Annals of Operations Research, Springer, vol. 317(2), pages 623-650, October.
  63. Apergis, Nicholas & Gozgor, Giray & Lau, Chi Keung Marco & Wang, Shixuan, 2019. "Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model," Energy Economics, Elsevier, vol. 78(C), pages 129-142.
  64. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  65. 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.
  66. Lars Ivar Hagfors & Hilde Hørthe Kamperud & Florentina Paraschiv & Marcel Prokopczuk & Alma Sator & Sjur Westgaard, 2016. "Prediction of extreme price occurrences in the German day-ahead electricity market," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1929-1948, December.
  67. Clements, A.E. & Herrera, R. & Hurn, A.S., 2015. "Modelling interregional links in electricity price spikes," Energy Economics, Elsevier, vol. 51(C), pages 383-393.
  68. Mehtap Kilic & Elisa Trujillo-Baute, 2014. "The stabilizing effect of hydro reservoir levels on intraday power prices under wind forecast errors," Working Papers 2014/30, Institut d'Economia de Barcelona (IEB).
  69. Alexander Boogert & Dominique Dupont, 2007. "When Supply Meets Demand: The Case of Hourly Spot Electricity Prices," Birkbeck Working Papers in Economics and Finance 0707, Birkbeck, Department of Economics, Mathematics & Statistics.
  70. Frank Asche & Atle Oglend & Petter Osmundsen, 2013. "UK Natural Gas: Gas-Specific or Oil Driven Pricing?," CESifo Working Paper Series 4503, CESifo.
  71. Huisman, R., 2007. "The Influence of Temperature on Spike Probability in Day-Ahead Power Prices," ERIM Report Series Research in Management ERS-2007-039-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  72. Sheybanivaziri, Samaneh & Le Dréau, Jérôme & Kazmi, Hussain, 2024. "Forecasting price spikes in day-ahead electricity markets: techniques, challenges, and the road ahead," Discussion Papers 2024/1, Norwegian School of Economics, Department of Business and Management Science.
  73. Wei Wei & Asger Lunde, 2020. "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Monash Econometrics and Business Statistics Working Papers 10/20, Monash University, Department of Econometrics and Business Statistics.
  74. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
  75. DeBenedictis, A. & Hoff, T.E. & Price, S. & Woo, C.K., 2010. "Statistically adjusted engineering (SAE) modeling of metered roof-top photovoltaic (PV) output: California evidence," Energy, Elsevier, vol. 35(10), pages 4178-4183.
  76. Zarnikau, J. & Woo, C.K. & Zhu, S. & Tsai, C.H., 2019. "Market price behavior of wholesale electricity products: Texas," Energy Policy, Elsevier, vol. 125(C), pages 418-428.
  77. Mehtap Kilic & Elisa Trujillo-Baute, 2014. "The stabilizing effect of hydro reservoir levels on intraday power prices under wind forecast errors," Working Papers 2014/30, Institut d'Economia de Barcelona (IEB).
  78. Mosquera-López, Stephanía & Uribe, Jorge M. & Manotas-Duque, Diego F., 2018. "Effect of stopping hydroelectric power generation on the dynamics of electricity prices: An event study approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 456-467.
  79. Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2019. "Modeling the electricity spot price with switching regime semi-nonparametric distributions," Documentos de Trabajo CIEF 17618, Universidad EAFIT.
  80. Woo, C.K. & Sreedharan, P. & Hargreaves, J. & Kahrl, F. & Wang, J. & Horowitz, I., 2014. "A review of electricity product differentiation," Applied Energy, Elsevier, vol. 114(C), pages 262-272.
  81. Mayer, Klaus & Trück, Stefan, 2018. "Electricity markets around the world," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 77-100.
  82. Ketterer, Janina C., 2014. "The impact of wind power generation on the electricity price in Germany," Energy Economics, Elsevier, vol. 44(C), pages 270-280.
  83. Woo, C.K. & Chen, Y. & Olson, A. & Moore, J. & Schlag, N. & Ong, A. & Ho, T., 2017. "Electricity price behavior and carbon trading: New evidence from California," Applied Energy, Elsevier, vol. 204(C), pages 531-543.
  84. Vika Koban, 2017. "The impact of market coupling on Hungarian and Romanian electricity markets: Evidence from the regime-switching model," Energy & Environment, , vol. 28(5-6), pages 621-638, September.
  85. Martin de Lagarde, Cyril & Lantz, Frédéric, 2018. "How renewable production depresses electricity prices: Evidence from the German market," Energy Policy, Elsevier, vol. 117(C), pages 263-277.
  86. Tishler, Asher & Milstein, Irena & Woo, Chi-Keung, 2008. "Capacity commitment and price volatility in a competitive electricity market," Energy Economics, Elsevier, vol. 30(4), pages 1625-1647, July.
  87. Matteo Pelagatti & Bruno Bosco & Lucia Parisio & Fabio Baldi, 2007. "A Robust Multivariate Long Run Analysis of European Electricity Prices," Working Papers 2007.103, Fondazione Eni Enrico Mattei.
  88. Godin, Frédéric & Ibrahim, Zinatu, 2021. "An analysis of electricity congestion price patterns in North America," Energy Economics, Elsevier, vol. 102(C).
  89. Stefan Thoenes, 2014. "Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  90. Adam Clements & Joanne Fuller & Stan Hurn, 2013. "Semi-parametric Forecasting of Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 89(287), pages 508-521, December.
  91. Hung, Jui-Cheng & Yi-Hsien Wang, & Chang, Matthew C. & Shih, Kuang-Hsun & Hsiu-Hsueh Kao,, 2011. "Minimum variance hedging with bivariate regime-switching model for WTI crude oil," Energy, Elsevier, vol. 36(5), pages 3050-3057.
  92. Huisman, Ronald, 2008. "The influence of temperature on spike probability in day-ahead power prices," Energy Economics, Elsevier, vol. 30(5), pages 2697-2704, September.
  93. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
  94. Kalantzis, Fotis & Sakellaris, Kostis, 2012. "Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices," MPRA Paper 37794, University Library of Munich, Germany.
  95. Ullrich, Carl J., 2012. "Realized volatility and price spikes in electricity markets: The importance of observation frequency," Energy Economics, Elsevier, vol. 34(6), pages 1809-1818.
  96. Kadir Özen & Dilem Yıldırım, 2021. "Application of Bagging in Day-Ahead Electricity Price Forecasting and Factor Augmentation," ERC Working Papers 2101, ERC - Economic Research Center, Middle East Technical University, revised Apr 2021.
  97. Niu, Shilei & Insley, Margaret, 2016. "An options pricing approach to ramping rate restrictions at hydro power plants," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 25-52.
  98. Antoine Ferré & Guillaume de Certaines & Jérôme Cazelles & Tancrède Cohet & Arash Farnoosh & Frédéric Lantz, 2021. "Short-term electricity price forecastingmodels comparative analysis : Machine Learning vs. Econometrics," Working Papers hal-03262208, HAL.
  99. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  100. Rocha, Paula & Kuhn, Daniel, 2012. "Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules," European Journal of Operational Research, Elsevier, vol. 216(2), pages 397-408.
  101. Bikeri Adline & Kazushi Ikeda, 2023. "A Hawkes Model Approach to Modeling Price Spikes in the Japanese Electricity Market," Energies, MDPI, vol. 16(4), pages 1-20, February.
  102. Per B. Solibakke, 2022. "Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 17-42, January.
  103. Fleten, Stein-Erik & Haugom, Erik & Ullrich, Carl J., 2017. "The real options to shutdown, startup, and abandon: U.S. electricity industry evidence," Energy Economics, Elsevier, vol. 63(C), pages 1-12.
  104. Ignatieva Katja, 2014. "A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 1-23, December.
  105. Heydari, Somayeh & Siddiqui, Afzal, 2010. "Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility," Energy Economics, Elsevier, vol. 32(3), pages 709-725, May.
  106. Bublitz, Andreas & Keles, Dogan & Fichtner, Wolf, 2017. "An analysis of the decline of electricity spot prices in Europe: Who is to blame?," Energy Policy, Elsevier, vol. 107(C), pages 323-336.
  107. Gaurav Kapoor & Nuttanan Wichitaksorn & Wenjun Zhang, 2023. "Analyzing and forecasting electricity price using regime‐switching models: The case of New Zealand market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2011-2026, December.
  108. Thoenes, Stefan, 2011. "Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011," EWI Working Papers 2011-6, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
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