Understanding Electricity Price Volatility within and across Markets
This study analyzes how electricity price volatility evolves over time for different electricity trading hubs in several deregulated markets around the world. The goal is to uncover common features across hubs within each market in the daily spot price volatility processes related to seasonality, mean reversion, conditionally autoregressive heteroskedasticity (ARCH) and possibly time-dependent jumps. We apply our analysis to markets in U.S., Nord Pool, and Australia. We show that ARCH and time-dependent jumps are important statistical features of price volatility across all hubs in each market but with different levels of intensity. We also find that inferences about the role of seasonality components are sensitive to modeling of the ARCH and jump features.
|Date of creation:||Jul 2004|
|Contact details of provider:|| Phone: (614) 292-8449|
Web page: http://www.cob.ohio-state.edu/fin/dice/list.htm
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Frank A. Wolak, 2000. "Market Design and Price Behavior in Restructured Electricity Markets: An International Comparison," NBER Chapters,in: Deregulation and Interdependence in the Asia-Pacific Region, NBER-EASE Volume 8, pages 79-137 National Bureau of Economic Research, Inc.
- Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
- Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-844.
- Guthrie, Graeme & Videbeck, Steen, 2007. "Electricity spot price dynamics: Beyond financial models," Energy Policy, Elsevier, vol. 35(11), pages 5614-5621, November.
- Bryan R. Routledge & Duane J. Seppi & Chester S. Spatt, 2000.
"Equilibrium Forward Curves for Commodities,"
Journal of Finance,
American Finance Association, vol. 55(3), pages 1297-1338, 06.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-50, Carnegie Mellon University, Tepper School of Business.
- Bryan Routledge & Duane Seppi & Chester Spatt, "undated". "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-49, Carnegie Mellon University, Tepper School of Business.
- Woo, Chi-Keung & Horowitz, Ira & Hoang, Khoa, 2001. "Cross hedging and forward-contract pricing of electricity," Energy Economics, Elsevier, vol. 23(1), pages 1-15, January.
- Terry Robinson, 2000. "Electricity pool prices: a case study in nonlinear time-series modelling," Applied Economics, Taylor & Francis Journals, vol. 32(5), pages 527-532.
- Borenstein, Severin, 2000. "Understanding Competitive Pricing and Market Power in Wholesale Electricity Markets," The Electricity Journal, Elsevier, vol. 13(6), pages 49-57, July.
- Borenstein, Severin, 1999. "Understanding Competitive Pricing and Market Power in Wholesale Electricity Markets," Competition Policy Center, Working Paper Series qt00p2p3wv, Competition Policy Center, Institute for Business and Economic Research, UC Berkeley.
- Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
- W. David Walls, 1999. "Volatility, volume and maturity in electricity futures," Applied Financial Economics, Taylor & Francis Journals, vol. 9(3), pages 283-287.
- Jean-Thomas Bernard & Stephen Gordon & Josee Tremblay, 1997. "Electricity Prices and Elections in Quebec," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 505-525, August.
- BERNARD, Jean-Thomas & GORDON, Stephen & TREMBLAY, Josée, 1995. "Electricity Prices and Elections in Québec," Cahiers de recherche 9501, Université Laval - Département d'économique.
- De Vany, Arthur S. & Walls, W. David, 1999. "Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US," Energy Economics, Elsevier, vol. 21(5), pages 435-448, October.
- Ng, Victor & Engle, Robert F. & Rothschild, Michael, 1992. "A multi-dynamic-factor model for stock returns," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 245-266.
- Borenstein, Severin & Bushnell, James & Kahn, Edward & Stoft, Steven, 1995. "Market power in California electricity markets," Utilities Policy, Elsevier, vol. 5(3-4), pages 219-236.
- Terry Robinson & Andrzej Baniak, 2002. "The volatility of prices in the English and Welsh electricity pool," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1487-1495.
- Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, April.
- S. Baranzoni & P. Bianchi & L. Lambertini, 2000. "Multiproduct Firms, Product Differentiation, and Market Structure," Working Papers 368, Dipartimento Scienze Economiche, Universita' di Bologna.
- 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, 06.
- 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.
- Villaplana, Pablo & Peña Sánchez de Rivera, Juan Ignacio & Escribano, Álvaro, 2002. "Modeling electricity prices: international evidence," UC3M Working papers. Economics we022708, Universidad Carlos III de Madrid. Departamento de Economía.
- M. T. Barlow, 2002. "A Diffusion Model For Electricity Prices," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 287-298.
- Steven L. Puller, 2007. "Pricing and Firm Conduct in California's Deregulated Electricity Market," The Review of Economics and Statistics, MIT Press, vol. 89(1), pages 75-87, February. Full references (including those not matched with items on IDEAS)