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Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets

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  • Ziel, Florian
  • Steinert, Rick
  • Husmann, Sven

Abstract

In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market we employ econometric models to incorporate the EXAA price and compare them with their counterparts without the price of the Austrian exchange. By employing a forecasting study, we find that electricity price models can be improved when EXAA prices are considered.

Suggested Citation

  • Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Energy Economics, Elsevier, vol. 51(C), pages 430-444.
  • Handle: RePEc:eee:eneeco:v:51:y:2015:i:c:p:430-444
    DOI: 10.1016/j.eneco.2015.08.005
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:energy:v:126:y:2017:i:c:p:430-443 is not listed on IDEAS
    2. repec:eee:appene:v:211:y:2018:i:c:p:890-903 is not listed on IDEAS
    3. Jesus Lago & Fjo De Ridder & Peter Vrancx & Bart De Schutter, 2017. "Forecasting day-ahead electricity prices in Europe: the importance of considering market integration," Papers 1708.07061, arXiv.org, revised Dec 2017.
    4. repec:eee:energy:v:126:y:2017:i:c:p:21-33 is not listed on IDEAS
    5. Florian Ziel & Rafal Weron, 2016. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models," HSC Research Reports HSC/16/08, Hugo Steinhaus Center, Wroclaw University of Technology.
    6. Ziel, Florian & Steinert, Rick, 2016. "Electricity price forecasting using sale and purchase curves: The X-Model," Energy Economics, Elsevier, vol. 59(C), pages 435-454.
    7. Florian Ziel & Rick Steinert, 2015. "Electricity Price Forecasting using Sale and Purchase Curves: The X-Model," Papers 1509.00372, arXiv.org, revised Aug 2016.
    8. repec:eee:eneeco:v:65:y:2017:i:c:p:411-423 is not listed on IDEAS
    9. repec:eee:appene:v:221:y:2018:i:c:p:386-405 is not listed on IDEAS
    10. repec:eee:eneeco:v:70:y:2018:i:c:p:396-420 is not listed on IDEAS
    11. Ziel, Florian & Weron, Rafał, 2018. "Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks," Energy Economics, Elsevier, vol. 70(C), pages 396-420.

    More about this item

    Keywords

    Electricity price; EXAA AR-Model; Forecasting; European electricity markets;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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