Spot-forward Model for Electricity Prices
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- repec:dui:wpaper:1502 is not listed on IDEAS
- Kiesel, Rüdiger & Paraschiv, Florentina, 2017.
"Econometric analysis of 15-minute intraday electricity prices,"
Elsevier, vol. 64(C), pages 77-90.
- Kiesel, Ruediger & Paraschiv, Florentina, 2015. "Econometric Analysis of 15-minute Intraday Electricity Prices," Working Papers on Finance 1521, University of St. Gallen, School of Finance.
- Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
- Erdogdu, Erkan, 2016.
"Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis,"
Elsevier, vol. 56(C), pages 398-409.
- Erdogdu, Erkan, 2015. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," MPRA Paper 70986, University Library of Munich, Germany, revised 09 Dec 2015.
- Florian Ziel, 2015. "Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure," Papers 1509.01966, arXiv.org, revised Jan 2016.
More about this item
Keywordselectricity prices; regime-switching model; negative prices; spikes; price forward curves;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-05 (All new papers)
- NEP-ECM-2013-10-05 (Econometrics)
- NEP-ENE-2013-10-05 (Energy Economics)
- NEP-REG-2013-10-05 (Regulation)
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