Conditionally independent increment processes for modeling electricity prices with regard to renewable power generation
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DOI: 10.1016/j.eneco.2021.105244
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Cited by:
- Rowińska, Paulina A. & Veraart, Almut E.D. & Gruet, Pierre, 2021. "A multi-factor approach to modelling the impact of wind energy on electricity spot prices," Energy Economics, Elsevier, vol. 104(C).
- Sirin, Selahattin Murat & Camadan, Ercument & Erten, Ibrahim Etem & Zhang, Alex Hongliang, 2023. "Market failure or politics? Understanding the motives behind regulatory actions to address surging electricity prices," Energy Policy, Elsevier, vol. 180(C).
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More about this item
Keywords
Dependence modeling; External process; Residual demand; Spikes; Intraday prices; Power cap; Power floor; Market price of risk; Forecast information;All these keywords.
JEL classification:
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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