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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- John Foster & Melvin J. Hinich & Phillip Wild, 2008.
"Randomly Modulated Periodic Signals in Australias National Electricity Market,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 3), pages 105-130.
- John Foster & Melvin Hinich & Phillip Wild, 2008. "Randomly Modulated Periodic Signals in Australias National Electricity Market," Energy Economics and Management Group Working Papers 2-2008, School of Economics, University of Queensland, Australia.
- Ammermann, Peter A. & Patterson, Douglas M., 2003. "The cross-sectional and cross-temporal universality of nonlinear serial dependencies: Evidence from world stock indices and the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 175-195, April.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Hinich, Melvin A. & Wild, Phillip, 2001. "Testing Time-Series Stationarity Against An Alternative Whose Mean Is Periodic," Macroeconomic Dynamics, Cambridge University Press, vol. 5(03), pages 380-412, June.
- Claudio Bonilla & Rafael Romero-Meza & Melvin Hinich, 2007. "GARCH inadequacy for modelling exchange rates: empirical evidence from Latin America," Applied Economics, Taylor & Francis Journals, vol. 39(19), pages 2529-2533.
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