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

Author

Listed:
  • Florian Ziel
  • Rick Steinert
  • Sven Husmann

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

  • Florian Ziel & Rick Steinert & Sven Husmann, 2015. "Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets," Papers 1501.00818, arXiv.org, revised Dec 2015.
  • Handle: RePEc:arx:papers:1501.00818
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. 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.
    2. 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.
    3. repec:eee:eneeco:v:65:y:2017:i:c:p:411-423 is not listed on IDEAS
    4. 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.
    5. repec:eee:appene:v:221:y:2018:i:c:p:386-405 is not listed on IDEAS
    6. repec:eee:energy:v:126:y:2017:i:c:p:430-443 is not listed on IDEAS
    7. 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.
    8. repec:eee:energy:v:126:y:2017:i:c:p:21-33 is not listed on IDEAS
    9. repec:eee:appene:v:211:y:2018:i:c:p:890-903 is not listed on IDEAS

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