IDEAS home Printed from https://ideas.repec.org/a/eee/jocoma/v36y2024ics2405851324000540.html
   My bibliography  Save this article

A comparative study of factor models for different periods of the electricity spot price market

Author

Listed:
  • Laudagé, Christian
  • Aichinger, Florian
  • Desmettre, Sascha

Abstract

Due to major shifts in the European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work, we study the performance of two different factor models for the electricity spot price in three different time periods. To this end, we consider three samples of EEX data for the Austrian base load electricity spot price, one from the pre-crisis from 2018 to 2021, the second from the time of the crisis from 2021 to 2023, and the whole data from 2018 to 2023. For each of these samples, we investigate the fit of a classical 3-factor model with a Gaussian base signal and one positive and one negative jump signal and compare it with a 4-factor model to assess the effect of adding a second Gaussian base signal to the model.

Suggested Citation

  • Laudagé, Christian & Aichinger, Florian & Desmettre, Sascha, 2024. "A comparative study of factor models for different periods of the electricity spot price market," Journal of Commodity Markets, Elsevier, vol. 36(C).
  • Handle: RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000540
    DOI: 10.1016/j.jcomm.2024.100435
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S2405851324000540
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.jcomm.2024.100435?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Multi-factor models; Bayesian calibration; Markov Chain Monte Carlo; Ornstein–Uhlenbeck processes; Electricity spot price; Jump processes;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000540. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jcomm .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.