IDEAS home Printed from https://ideas.repec.org/r/kap/revdev/v10y2007i1p59-85.html
   My bibliography  Save this item

Modelling jumps in electricity prices: theory and empirical evidence

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
  2. Keles, Dogan & Genoese, Massimo & Möst, Dominik & Fichtner, Wolf, 2012. "Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices," Energy Economics, Elsevier, vol. 34(4), pages 1012-1032.
  3. Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
  4. Yangfang (Helen) Zhou & Alan Scheller-Wolf & Nicola Secomandi & Stephen Smith, 2016. "Electricity Trading and Negative Prices: Storage vs. Disposal," Management Science, INFORMS, vol. 62(3), pages 880-898, March.
  5. Auer, Benjamin R., 2016. "How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models," Energy Policy, Elsevier, vol. 98(C), pages 621-628.
  6. Shakouri, Mahmoud & Lee, Hyun Woo & Kim, Yong-Woo, 2017. "A probabilistic portfolio-based model for financial valuation of community solar," Applied Energy, Elsevier, vol. 191(C), pages 709-726.
  7. Pietz, Matthäus, 2009. "Risk premia in electricity wholesale spot markets: empirical evidence from Germany," CEFS Working Paper Series 2009-11, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
  8. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
  9. Maciej Kostrzewski & Jadwiga Kostrzewska, 2021. "The Impact of Forecasting Jumps on Forecasting Electricity Prices," Energies, MDPI, vol. 14(2), pages 1-17, January.
  10. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  11. Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
  12. Muniain, Peru & Ziel, Florian, 2020. "Probabilistic forecasting in day-ahead electricity markets: Simulating peak and off-peak prices," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1193-1210.
  13. Mayer, Klaus & Trück, Stefan, 2018. "Electricity markets around the world," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 77-100.
  14. Abadie, Luis María & Chamorro, José Manuel, 2021. "Evaluation of a cross-border electricity interconnection: The case of Spain-France," Energy, Elsevier, vol. 233(C).
  15. Luis M. Abadie & Nestor Goicoechea, 2021. "Old Wind Farm Life Extension vs. Full Repowering: A Review of Economic Issues and a Stochastic Application for Spain," Energies, MDPI, vol. 14(12), pages 1-24, June.
  16. Thomas Deschatre & Olivier F'eron & Pierre Gruet, 2021. "A survey of electricity spot and futures price models for risk management applications," Papers 2103.16918, arXiv.org, revised Jul 2021.
  17. Guo, Qianwen & Chen, Shumin & Sun, Yanshuo & Schonfeld, Paul, 2023. "Investment timing and length choice for a rail transit line under demand uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 175(C).
  18. Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2017. "An Electricity Price Modeling Framework for Renewable-Dominant Markets," Working Paper Series in Production and Energy 23, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
  19. Stübinger, Johannes & Endres, Sylvia, 2017. "Pairs trading with a mean-reverting jump-diffusion model on high-frequency data," FAU Discussion Papers in Economics 10/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  20. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
  21. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  22. Gonzalez, Jhonny & Moriarty, John & Palczewski, Jan, 2017. "Bayesian calibration and number of jump components in electricity spot price models," Energy Economics, Elsevier, vol. 65(C), pages 375-388.
  23. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  24. Yangfang (Helen) Zhou & Alan Scheller‐Wolf & Nicola Secomandi & Stephen Smith, 2019. "Managing Wind‐Based Electricity Generation in the Presence of Storage and Transmission Capacity," Production and Operations Management, Production and Operations Management Society, vol. 28(4), pages 970-989, April.
  25. Fernandes, Mário Correia & Dias, José Carlos & Nunes, João Pedro Vidal, 2021. "Modeling energy prices under energy transition: A novel stochastic-copula approach," Economic Modelling, Elsevier, vol. 105(C).
  26. Bobinaite, Viktorija & Juozapaviciene, Aldona & Staniewski, Marcin & Szczepankowski, Piotr, 2013. "Comparative analysis of features of Polish and Lithuanian Day-ahead electricity market prices," Energy Policy, Elsevier, vol. 63(C), pages 181-196.
  27. Johannes Stübinger & Sylvia Endres, 2018. "Pairs trading with a mean-reverting jump–diffusion model on high-frequency data," Quantitative Finance, Taylor & Francis Journals, vol. 18(10), pages 1735-1751, October.
  28. Hain, Martin & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2018. "Managing renewable energy production risk," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 1-19.
  29. Xiong, Heng & Mamon, Rogemar, 2019. "A higher-order Markov chain-modulated model for electricity spot-price dynamics," Applied Energy, Elsevier, vol. 233, pages 495-515.
  30. Abadie, Luis M. & Goicoechea, Nestor, 2022. "Optimal management of a mega pumped hydro storage system under stochastic hourly electricity prices in the Iberian Peninsula," Energy, Elsevier, vol. 252(C).
  31. Luis M. Abadie, 2021. "Energy Market Prices in Times of COVID-19: The Case of Electricity and Natural Gas in Spain," Energies, MDPI, vol. 14(6), pages 1-17, March.
  32. Christian Laudag'e & Florian Aichinger & Sascha Desmettre, 2023. "A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market," Papers 2306.07731, arXiv.org, revised Sep 2023.
  33. Štěpán Kratochvíl & Oldřich Starý, 2013. "Predicting the Prices of Electricity Derivatives on the Energy Exchange," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2013(6), pages 65-81.
  34. Shadi Tehrani & Jesús Juan & Eduardo Caro, 2022. "Electricity Spot Price Modeling and Forecasting in European Markets," Energies, MDPI, vol. 15(16), pages 1-23, August.
  35. Fanone, Enzo & Gamba, Andrea & Prokopczuk, Marcel, 2013. "The case of negative day-ahead electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 22-34.
  36. Hain, Martin & Kargus, Tobias & Schermeyer, Hans & Uhrig-Homburg, Marliese & Fichtner, Wolf, 2022. "An electricity price modeling framework for renewable-dominant markets," Working Paper Series in Production and Energy 66, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.