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Hourly Energy Prices in Spain - Evidence of Persistence Across Different Months

Author

Listed:
  • Miguel Angel Martin-Valmayor
  • Luis Alberiko Gil-Alaña

    (Facultad de Derecho, Empresa y Gobierno, Universidad Francisco de Vitoria, Spain)

Abstract

We examine the hourly structure of energy prices in Spain using 12 one-month-long series (from November 2020 to October 2021) of samples of hourly pricing (from 00:00 to 23:00) for each day of the month and applying a long memory approach with fractional integration analysis. Our results indicate that the series are highly persistent, with shocks having permanent effects with non–mean reversion properties, with no month-specific effects on the data series.

Suggested Citation

  • Miguel Angel Martin-Valmayor & Luis Alberiko Gil-Alaña, 2024. "Hourly Energy Prices in Spain - Evidence of Persistence Across Different Months," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(3), pages 1-6.
    • Handle: RePEc:ayb:jrnerl:87
    DOI: 2024/07/09
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    References listed on IDEAS

    as
    1. Duarte, Rosa & Langarita, Raquel & Sánchez-Chóliz, Julio, 2017. "The electricity industry in Spain: A structural analysis using a disaggregated input-output model," Energy, Elsevier, vol. 141(C), pages 2640-2651.
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    More about this item

    Keywords

    Energy consumption; energy prices; long memory; fractional integration; persistence;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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