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Price Dynamics in Electricity Markets

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  • Paraschiv, Florentina

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Abstract

With the liberalization of global power markets, modeling of exchange traded electricity contracts has attracted significantly the attention of both academic and industry. In this paper we offer an overview of the most common deseasonalization techniques and modeling approaches in the literature. We extract the deterministic component of EEX Phelix hourly electricity prices and we discuss different financial and time series models for their stochastic component. Additionally, we apply Extreme Value Theory (EVT) to investigate the tails of the price changes distribution. Generally our results suggest EVT to be of interest to both risk managers and portfolio managers in the highly volatile electricity markets.

Suggested Citation

  • Paraschiv, Florentina, 2013. "Price Dynamics in Electricity Markets," Working Papers on Finance 1314, University of St. Gallen, School of Finance.
  • Handle: RePEc:usg:sfwpfi:2013:14
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    Cited by:

    1. Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
    2. repec:eee:eneeco:v:68:y:2017:i:c:p:283-302 is not listed on IDEAS
    3. Paraschiv, Florentina & Erni, David & Pietsch, Ralf, 2014. "The impact of renewable energies on EEX day-ahead electricity prices," Energy Policy, Elsevier, vol. 73(C), pages 196-210.
    4. Keles, Dogan & Scelle, Jonathan & Paraschiv, Florentina & Fichtner, Wolf, 2016. "Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks," Applied Energy, Elsevier, pages 218-230.

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