IDEAS home Printed from https://ideas.repec.org/a/sae/enejou/v40y2019i1_supplp211-232.html
   My bibliography  Save this article

Common Unobserved Determinants of Intraday Electricity Prices

Author

Listed:
  • Nikolaos S. Thomaidis
  • Gordon H. Dash
  • Nina Kajiji

Abstract

This paper employs multilevel factor modelling techniques to unravel systematic unobserved determinants of the intraday and interzonal price curve dynamics for the Pennsylvania-New Jersey-Maryland (PJM) interconnection. These techniques make an explicit separation of global drivers from region-specific common factors, thereby facilitating the identification of the actual sources of co-variability. Our empirical findings confirm the hypothesis that the common unobserved determinants of power prices in the PJM interconnection obey a block structure, some of which affect different segments of our panel. We argue that a multilevel factor approach offers a more systematic and transparent representation of intertemporal and cross-sectional patterns in PJM electricity prices compared to alternative brute-force VARMAX parametrizations and the single-level factor models, which are often put forward in the literature as viable modelling alternatives.

Suggested Citation

  • Nikolaos S. Thomaidis & Gordon H. Dash & Nina Kajiji, 2019. "Common Unobserved Determinants of Intraday Electricity Prices," The Energy Journal, , vol. 40(1_suppl), pages 211-232, June.
    • Handle: RePEc:sae:enejou:v:40:y:2019:i:1_suppl:p:211-232
    DOI: 10.5547/01956574.40.SI1.ntho
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.5547/01956574.40.SI1.ntho
    Download Restriction: no
    File URL: https://libkey.io/10.5547/01956574.40.SI1.ntho?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
    ---><---

    References listed on IDEAS

    as
    1. M. Pilar Muñoz & Cristina Corchero & F.-Javier Heredia, 2013. "Improving Electricity Market Price Forecasting with Factor Models for the Optimal Generation Bid," International Statistical Review, International Statistical Institute, vol. 81(2), pages 289-306, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.

      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:sae:enejou:v:40:y:2019:i:1_suppl:p:211-232. 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.

      If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: SAGE Publications (email available below). General contact details of provider: .

      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.