IDEAS home Printed from https://ideas.repec.org/a/eee/enepol/v35y2007i11p5614-5621.html
   My bibliography  Save this article

Electricity spot price dynamics: Beyond financial models

Author

Listed:
  • Guthrie, Graeme
  • Videbeck, Steen

Abstract

No abstract is available for this item.

Suggested Citation

  • Guthrie, Graeme & Videbeck, Steen, 2007. "Electricity spot price dynamics: Beyond financial models," Energy Policy, Elsevier, vol. 35(11), pages 5614-5621, November.
  • Handle: RePEc:eee:enepol:v:35:y:2007:i:11:p:5614-5621
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0301-4215(07)00246-7
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lewis Evans & Graeme Guthrie & Steen Videbeck, 2008. "Assessing The Integration Of Electricity Markets Using Principal Component Analysis: Network And Market Structure Effects," Contemporary Economic Policy, Western Economic Association International, vol. 26(1), pages 145-161, January.
    2. 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.
    3. Stigler, George J & Sherwin, Robert A, 1985. "The Extent of the Market," Journal of Law and Economics, University of Chicago Press, vol. 28(3), pages 555-585, October.
    4. Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
    5. repec:dau:papers:123456789/120 is not listed on IDEAS
    6. Hendrik Bessembinder & Michael L. Lemmon, 2002. "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Journal of Finance, American Finance Association, vol. 57(3), pages 1347-1382, June.
    7. Li, Ying & Flynn, Peter C., 2004. "Deregulated power prices: comparison of diurnal patterns," Energy Policy, Elsevier, vol. 32(5), pages 657-672, March.
    8. Huisman, Ronald & Huurman, Christian & Mahieu, Ronald, 2007. "Hourly electricity prices in day-ahead markets," Energy Economics, Elsevier, vol. 29(2), pages 240-248, March.
    9. Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011. "Modelling Electricity Prices: International Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
    10. Gregory P. Swinand & Carlos Rufin & Chetan Sharma, 2005. "Valuing Assets Using Real Options: An Application to Deregulated Electricity Markets," Journal of Applied Corporate Finance, Morgan Stanley, vol. 17(2), pages 55-67.
    11. Li, Ying & Flynn, Peter C., 2004. "Deregulated power prices: comparison of volatility," Energy Policy, Elsevier, vol. 32(14), pages 1591-1601, September.
    12. Goto, Mika & Karolyi, G. Andrew, 2004. "Understanding Electricity Price Volatility within and across Markets," Working Paper Series 2004-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    13. Francis A. Longstaff & Ashley W. Wang, 2004. "Electricity Forward Prices: A High-Frequency Empirical Analysis," Journal of Finance, American Finance Association, vol. 59(4), pages 1877-1900, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
    2. 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.
    3. 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).
    4. repec:eee:energy:v:144:y:2018:i:c:p:887-902 is not listed on IDEAS
    5. Florian Ziel & Rick Steinert & Sven Husmann, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org, revised Oct 2014.
    6. 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.
    7. repec:eee:appene:v:204:y:2017:i:c:p:531-543 is not listed on IDEAS
    8. 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.
    9. 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.
    10. repec:eee:eneeco:v:69:y:2018:i:c:p:1-18 is not listed on IDEAS
    11. Hurtado Moreno, Laura & Quintero Montoya, Olga Lucía & García Rendón, John Jairo, 2014. "Estimación del precio de oferta de la energía eléctrica en Colombia mediante inteligencia artificial || Estimating the Spot Market Price Bid in Colombian Electricity Market by Using Artificial Intelli," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 18(1), pages 54-87, December.
    12. Palzer, Andreas & Westner, Günther & Madlener, Reinhard, 2013. "Evaluation of different hedging strategies for commodity price risks of industrial cogeneration plants," Energy Policy, Elsevier, vol. 59(C), pages 143-160.
    13. Vahl, Fabrício Peter & Rüther, Ricardo & Casarotto Filho, Nelson, 2013. "The influence of distributed generation penetration levels on energy markets," Energy Policy, Elsevier, vol. 62(C), pages 226-235.
    14. Di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2018. "Wind, storage, interconnection and the cost of electricity generation," Energy Economics, Elsevier, vol. 69(C), pages 1-18.
    15. 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.
    16. Goto, Mika & Karolyi, G. Andrew, 2004. "Understanding Electricity Price Volatility within and across Markets," Working Paper Series 2004-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    17. Hellström, Jörgen & Lundgren, Jens & Yu, Haishan, 2012. "Why do electricity prices jump? Empirical evidence from the Nordic electricity market," Energy Economics, Elsevier, vol. 34(6), pages 1774-1781.
    18. 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.
    19. 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).
    20. Ziel, Florian & Steinert, Rick & Husmann, Sven, 2015. "Efficient modeling and forecasting of electricity spot prices," Energy Economics, Elsevier, vol. 47(C), pages 98-111.
    21. 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.
    22. S. Vijayalakshmi & G. P. Girish, 2015. "Artificial Neural Networks for Spot Electricity Price Forecasting: A Review," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 1092-1097.
    23. Lundgren, Jens & Hellström, Jörgen & Rudholm, Niklas, 2008. "Multinational Electricity Market Integration and Electricity Price Dynamics," HUI Working Papers 16, HUI Research.
    24. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:enepol:v:35:y:2007:i:11:p:5614-5621. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/enpol .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.