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Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?

In this article, we use half hourly spot electricity prices and load data for the National Electricity Market (NEM) of Australia for the period from December 1998 to February 2008 to test for episodic nonlinearity in the dynamics governing daily and weekly cycles in load and spot price time series data. We apply the portmanteau correlation, bicorrelation and tricorrelation tests introduced in Hinich (1996) to the time series of half hourly spot prices and load demand from 7/12/1998 to 29/02/2008 using a FORTRAN 95 program. We find the presence of significant third and fourth order (non-linear) serial dependence in the weekly load and spot price data in particular, but to a much more marginal extent, in the daily data.

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File URL: http://www.uq.edu.au/economics/abstract/368.pdf
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Paper provided by School of Economics, University of Queensland, Australia in its series Discussion Papers Series with number 368.

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Date of creation: 2008
Handle: RePEc:qld:uq2004:368
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Web page: http://www.uq.edu.au/economics/
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  18. Hinich, Melvin J. & Serletis, Apostolos, 2007. "Episodic Nonlinear Event Detection in the Canadian Exchange Rate," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 68-74, March.
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