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The case of negative day-ahead electricity prices

  • Fanone, Enzo
  • Gamba, Andrea
  • Prokopczuk, Marcel

In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.

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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 35 (2013)
Issue (Month): C ()
Pages: 22-34

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Handle: RePEc:eee:eneeco:v:35:y:2013:i:c:p:22-34
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  18. Markus Burger & Bernhard Klar & Alfred Muller & Gero Schindlmayr, 2004. "A spot market model for pricing derivatives in electricity markets," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 109-122.
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