No PUN intended: A time series analysis of the Italian day-ahead electricity prices
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Le Coq, Chloe & Orzen, Henrik, 2006.
"Do forward markets enhance competition?: Experimental evidence,"
Journal of Economic Behavior & Organization, Elsevier, vol. 61(3), pages 415-431, November.
- Le Coq, Chloé & Orzen, Henrik, 2002. "Do Forward Markets Enhance Competition? Experimental Evidence," SSE/EFI Working Paper Series in Economics and Finance 506, Stockholm School of Economics, revised 01 Oct 2004.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- Kanamura, Takashi, 2009. "A supply and demand based volatility model for energy prices," Energy Economics, Elsevier, vol. 31(5), pages 736-747, September.
- Jordi Brandts & Paul Pezanis‐Christou & Arthur Schram, 2008.
"Competition with forward contracts: a laboratory analysis motivated by electricity market design,"
Economic Journal, Royal Economic Society, vol. 118(525), pages 192-214, January.
- Jordi Brandts & Paul Pezanis-Christou & Arthur Schram, 2008. "Competition with forward contracts: a laboratory analysis motivated by electricity market design," Economic Journal, Royal Economic Society, vol. 118(525), pages 192-214, January.
- Jordi Brandts & Paul Pezanis-Christou & Arthur Schram, 2003. "Competition with Forward Contracts: A Laboratory Analysis Motivated by Electricity Market Design," Levine's Bibliography 666156000000000172, UCLA Department of Economics.
- Jordi Brandts & Paul Pezanis-Christou & Arthur Schram, 2003. "Competitions with Forward Contracts: A Laboratory Analysis Motivated by Electricity Market Design," Working Papers 66, Barcelona School of Economics.
- Jordi Brandts & Paul Pezanis-Christou & Arthur Schram, 2003. "Competition with Forward Contracts: A Laboratory Analysis Motivated by Electricity Market Design," UFAE and IAE Working Papers 581.03, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Crespo Cuaresma, Jesús & Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael, 2004. "Forecasting electricity spot-prices using linear univariate time-series models," Applied Energy, Elsevier, vol. 77(1), pages 87-106, January.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Bowden, Nicholas & Payne, James E., 2008. "Short term forecasting of electricity prices for MISO hubs: Evidence from ARIMA-EGARCH models," Energy Economics, Elsevier, vol. 30(6), pages 3186-3197, November.
- repec:cto:journl:v:21:y:2002:i:3:p:515-544 is not listed on IDEAS
- Green, Richard, 2002.
"Retail Competition and Electricity Contracts,"
Royal Economic Society Annual Conference 2002
93, Royal Economic Society.
- Green, R., 2004. "Retail Competition and Electricity Contracts," Cambridge Working Papers in Economics 0406, Faculty of Economics, University of Cambridge.
- Richard Green, 2003. "Retail Competition and Electricity Contracts," Working Papers EP33, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
- Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
- Boffa, Federico & Pingali, Viswanath & Vannoni, Davide, 2010.
"Increasing market interconnection: An analysis of the Italian electricity spot market,"
International Journal of Industrial Organization, Elsevier, vol. 28(3), pages 311-322, May.
- Federico Boffa & Viswanath Pingali, 2008. "MIncreasing Market Interconnection: an analysis of the Italian Electricity Spot Market," Working Papers 17-2008, Macerata University, Department of Studies on Economic Development (DiSSE), revised Nov 2008.
- Federico Boffa & Viswanath Pingali & Davide Vannoni, 2009. "Increasing Market Interconnection: An analysis of the Italian Electricity Spot Market," Working papers 04, Former Department of Economics and Public Finance "G. Prato", University of Torino.
- Deng, S.J. & Oren, S.S., 2006. "Electricity derivatives and risk management," Energy, Elsevier, vol. 31(6), pages 940-953.
- David M. Newbery, 1998.
"Competition, Contracts, and Entry in the Electricity Spot Market,"
RAND Journal of Economics, The RAND Corporation, vol. 29(4), pages 726-749, Winter.
- Newbery, D. M., 1997. "Competition, Contracts and Entry in the Electricity Spot Market," Cambridge Working Papers in Economics 9707, Faculty of Economics, University of Cambridge.
- Ferrari, Alessandra & Giulietti, Monica, 2005. "Competition in electricity markets: international experience and the case of Italy," Utilities Policy, Elsevier, vol. 13(3), pages 247-255, September.
- Rassenti, Stephen, 2009. "The strategic motive to sell forward: experimental evidence," UC3M Working papers. Economics we092616, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Richard Green, 1999. "The Electricity Contract Market in England and Wales," Journal of Industrial Economics, Wiley Blackwell, vol. 47(1), pages 107-124, March.
- Louis-Gaëtan Giraudet & Philippe Quirion, 2008.
"Efficiency and distributional impacts of tradable white certificates compared to taxes, subsidies and regulations,"
Revue d'économie politique, Dalloz, vol. 118(6), pages 885-914.
- Giraudet, Louis-Gaetan & Quirion, Philippe, 2008. "Efficiency and Distributional Impacts of Tradable White Certificates Compared to Taxes, Subsidies and Regulations," International Energy Markets Working Papers 46554, Fondazione Eni Enrico Mattei (FEEM).
- Philippe Quirion & Louis-Gaëtan Giraudet, 2008. "Efficiency and Distributional Impacts of Tradable White Certificates Compared to Taxes, Subsidies and Regulations," Working Papers 2008.88, Fondazione Eni Enrico Mattei.
- Louis-Gaëtan Giraudet & Philippe Quirion, 2008. "Efficiency and distributional impacts of tradable white certificates compared to taxes, subsidies and regulations," Post-Print hal-00716695, HAL.
- Rolf W. Kunneke & John Groenewegen & Jean-François Auger (ed.), 2009. "The Governance of Network Industries," Books, Edward Elgar Publishing, number 12622.
- Fraser, Hamish & Lanza, Salvatore, 2006. "It Matters Which Way You Slice It: Risk Management for the 2005 Procurement Auction of Italy's Acquirente Unico," The Electricity Journal, Elsevier, vol. 19(1), pages 66-76.
- Bruno Bosco & Lucia Parisio & Matteo Pelagatti, 2007. "Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 13(4), pages 415-432, November.
- Adam Misiorek & Rafal Weron, 2006. "Interval forecasting of spot electricity prices," HSC Research Reports HSC/06/05, Hugo Steinhaus Center, Wroclaw University of Technology.
- repec:tur:wpaper:4 is not listed on IDEAS
- Daniel Gordon, 1995.
"Optimal lag length in estimating Dickey-Fuller statistics: an empirical note,"
Applied Economics Letters, Taylor & Francis Journals, vol. 2(6), pages 188-190.
- Gordon, D.V., 1994. "Optimal Lag Length in Estimating Dickey-Fuller Statistics: An Empirical Note," Papers 9405, Calgary - Department of Economics.
- Bottazzi, G. & Sapio, S. & Secchi, A., 2005.
"Some statistical investigations on the nature and dynamics of electricity prices,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 54-61.
- Giulio Bottazzi & Sandro Sapio & Angelo Secchi, 2004. "Some Statistical Investigations on the Nature and Dynamics of Electricity Prices," LEM Papers Series 2004/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011.
"Options introduction and volatility in the EU ETS,"
Resource and Energy Economics, Elsevier, vol. 33(4), pages 855-880.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," Working Papers hal-00419339, HAL.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011. "Options introduction and volatility in the EU ETS," Working Papers 1107, Chaire Economie du climat.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011. "Options introduction and volatility in the EU ETS," Post-Print hal-00991848, HAL.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," EconomiX Working Papers 2009-33, University of Paris Nanterre, EconomiX.
- Mundaca, Luis, 2008. "Markets for energy efficiency: Exploring the implications of an EU-wide 'Tradable White Certificate' scheme," Energy Economics, Elsevier, vol. 30(6), pages 3016-3043, November.
- repec:kap:iaecre:v:13:y:2007:i:4:p:415-432 is not listed on IDEAS
- Powell, Andrew, 1993.
"Trading Forward in an Imperfect Market: The Case of Electricity in Britain,"
Economic Journal, Royal Economic Society, vol. 103(417), pages 444-453, March.
- A. Powell, 1992. "Trading Forward in an Imperfect Market: The Case of Electricity in Britain," Working Papers 261, Queen Mary University of London, School of Economics and Finance.
- Herguera, Inigo, 2000. "Bilateral contracts and the spot market for electricity: some observations on the British and the NordPool experiences," Utilities Policy, Elsevier, vol. 9(2), pages 73-80, June.
- repec:bla:jindec:v:47:y:1999:i:1:p:107-24 is not listed on IDEAS
- De Vany, Arthur S. & Walls, W. David, 1999. "Cointegration analysis of spot electricity prices: insights on transmission efficiency in the western US," Energy Economics, Elsevier, vol. 21(5), pages 435-448, October.
- Philip Gray & Dieter Helm & Andrew Powell, 1996. "Competition Versus Regulation In British Electricity Generation," World Scientific Book Chapters, in: G MacKerron & P Pearson (ed.), The Uk Energy Experience A Model or A Warning?, chapter 15, pages 201-220, World Scientific Publishing Co. Pte. Ltd..
- Lester Hadsell, Achla Marathe and Hany A. Shawky, 2004. "Estimating the Volatility of Wholesale Electricity Spot Prices in the US," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 23-40.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options Introduction and Volatility in the EU ETS," Working Papers halshs-00405709, HAL.
- repec:dau:papers:123456789/6793 is not listed on IDEAS
- Liski, Matti & Montero, Juan-Pablo, 2006.
"Forward trading and collusion in oligopoly,"
Journal of Economic Theory, Elsevier, vol. 131(1), pages 212-230, November.
- Matti Liski & Juan-Pablo Montero, 2004. "Forward trading and collusion in oligopoly," Working Papers 0412, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
- Matti Liski & Juan-Pablo Montero, 2005. "Forward trading and collusion in oligopoly," Working Papers 0506, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research.
- Julien CHEVALLIER & Yannick LE PEN & Benoît SEVI, 2009. "Options introduction and volatility in the EU ETS," Cahiers du CREDEN (CREDEN Working Papers) 09.07.85, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
- Terry Robinson & Andrzej Baniak, 2002. "The volatility of prices in the English and Welsh electricity pool," Applied Economics, Taylor & Francis Journals, vol. 34(12), pages 1487-1495.
- Lowrey, Craig, 1997. "The pool and forward contracts in the UK electricity supply industry," Energy Policy, Elsevier, vol. 25(4), pages 413-423, March.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601, December.
- Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2007. "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices," MPRA Paper 4711, University Library of Munich, Germany.
- repec:dau:papers:123456789/4620 is not listed on IDEAS
- Green, Richard & Le Coq, Chloé, 2010. "The length of contracts and collusion," International Journal of Industrial Organization, Elsevier, vol. 28(1), pages 21-29, January.
- Dieter Helm & Andrew Powell, 1992. "Pool prices, contracts and regulation in the British electricity supply industry," Fiscal Studies, Institute for Fiscal Studies, vol. 13(1), pages 89-105, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Faheem Jan & Ismail Shah & Sajid Ali, 2022. "Short-Term Electricity Prices Forecasting Using Functional Time Series Analysis," Energies, MDPI, vol. 15(9), pages 1-15, May.
- Ketterer, Janina C., 2014.
"The impact of wind power generation on the electricity price in Germany,"
Energy Economics, Elsevier, vol. 44(C), pages 270-280.
- Janina Ketterer, 2012. "The Impact of Wind Power Generation on the Electricity Price in Germany," ifo Working Paper Series 143, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Abban, Abdul Rashid & Hasan, Mohammad Z., 2021. "Solar energy penetration and volatility transmission to electricity markets—An Australian perspective," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 434-449.
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.- Petrella, Andrea & Sapio, Alessandro, 2012. "Assessing the impact of forward trading, retail liberalization, and white certificates on the Italian wholesale electricity prices," Energy Policy, Elsevier, vol. 40(C), pages 307-317.
- Holmberg, Pär & Willems, Bert, 2015.
"Relaxing competition through speculation: Committing to a negative supply slope,"
Journal of Economic Theory, Elsevier, vol. 159(PA), pages 236-266.
- Holmberg, P. & Willems, Bert, 2012. "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Discussion Paper 2012-039, Tilburg University, Tilburg Law and Economic Center.
- Holmberg, P. & Willems, Bert, 2012. "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Discussion Paper 2012-088, Tilburg University, Center for Economic Research.
- Holmberg, Pär & Willems, Bert, 2012. "Relaxing Competition through Speculation: Committing to a Negative Supply Slope," Working Paper Series 937, Research Institute of Industrial Economics.
- Holmberg, P. & Willems, B., 2012. "Relaxing competition through speculation: Committing to a negative supply slope," Cambridge Working Papers in Economics 1252, Faculty of Economics, University of Cambridge.
- Pär Holmberg & Bert Willems, 2012. "Relaxing competition through speculation: Committing to a negative supply slope," Working Papers EPRG 1224, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Holmberg, Par & Willems, Bert, 2015. "Relaxing competition through speculation : Committing to a negative supply slope," Other publications TiSEM e39e21c0-d1d3-495e-83c5-b, Tilburg University, School of Economics and Management.
- Holmberg, P. & Willems, Bert, 2012. "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Other publications TiSEM 29ee1be9-d566-4b3b-9ba0-0, Tilburg University, School of Economics and Management.
- Holmberg, P. & Willems, Bert, 2012. "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Other publications TiSEM 2d1fb9b4-fb84-44ab-92e9-f, Tilburg University, School of Economics and Management.
- 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.
- Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Per B. Solibakke, 2022. "Step‐ahead spot price densities using daily synchronously reported prices and wind forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 17-42, January.
- Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
- Gianfreda, Angelica & Grossi, Luigi, 2012.
"Forecasting Italian electricity zonal prices with exogenous variables,"
Energy Economics, Elsevier, vol. 34(6), pages 2228-2239.
- Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
- Dressler, Luisa, 2016.
"Support schemes for renewable electricity in the European Union: Producer strategies and competition,"
Energy Economics, Elsevier, vol. 60(C), pages 186-196.
- Luisa Dressler, 2014. "Support Schemes for Renewable Electricity in the European Union: Producer Strategies and Competition," Working Papers ECARES ECARES 2014-54, ULB -- Universite Libre de Bruxelles.
- van Eijkel, Remco & Kuper, Gerard H. & Moraga-González, José L., 2016.
"Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas,"
International Journal of Industrial Organization, Elsevier, vol. 49(C), pages 1-35.
- van Eijkel, Remco & Moraga-González, Jose L., 2010. "Do firms sell forward for strategic reasons? An application to the wholesale market for natural gas," IESE Research Papers D/864, IESE Business School.
- Remco van Eijkel & José Luis Moraga Gonzalez, 2010. "Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas," CESifo Working Paper Series 3270, CESifo.
- S. Vijayalakshmi & G. P. Girish, 2015. "Artificial Neural Networks for Spot Electricity Price Forecasting: A Review," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 1092-1097.
- Remco van Eijkel & Jose Luis Moraga, 2010. "Do Firms sell forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas," Tinbergen Institute Discussion Papers 10-058/1, Tinbergen Institute.
- Sandro Sapio, 2012.
"Modeling the distribution of day-ahead electricity returns: a comparison,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
- Sandro Sapio, 2009. "Modelling the distribution of day-ahead electricity returns: a comparison," LEM Papers Series 2009/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- G P Girish & Aviral Kumar Tiwari, 2016. "A comparison of different univariate forecasting models forSpot Electricity Price in India," Economics Bulletin, AccessEcon, vol. 36(2), pages 1039-1057.
- Le Pen, Yannick & Sévi, Benoît, 2010.
"Volatility transmission and volatility impulse response functions in European electricity forward markets,"
Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
- Yannick LE PEN & Benoît SEVI, 2008. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Cahiers du CREDEN (CREDEN Working Papers) 08.09.77, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
- 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.
- Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
- Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Technology, revised 15 Apr 2013.
- Sherzod N. Tashpulatov, 2022. "Modeling Electricity Price Dynamics Using Flexible Distributions," Mathematics, MDPI, vol. 10(10), pages 1-15, May.
- Billé, Anna Gloria & Gianfreda, Angelica & Del Grosso, Filippo & Ravazzolo, Francesco, 2023.
"Forecasting electricity prices with expert, linear, and nonlinear models,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 570-586.
- Anna Gloria Billé & Angelica Gianfreda & Filippo Del Grosso & Francesco Ravazzolo, 2021. "Forecasting Electricity Prices with Expert, Linear and Non-Linear Models," Working Paper series 21-20, Rimini Centre for Economic Analysis.
- Florian Ziel & Rick Steinert & Sven Husmann, 2014. "Efficient Modeling and Forecasting of the Electricity Spot Price," Papers 1402.7027, arXiv.org, revised Oct 2014.
- Rafal Weron & Adam Misiorek, 2006. "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports HSC/06/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Afanasyev, Dmitriy O. & Fedorova, Elena A., 2019. "On the impact of outlier filtering on the electricity price forecasting accuracy," Applied Energy, Elsevier, vol. 236(C), pages 196-210.
More about this item
Keywords
Electricity prices; Italian Power Exchange; Market architecture; ARMA; EGARCH;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2010-02-20 (Energy Economics)
- NEP-MST-2010-02-20 (Market Microstructure)
Statistics
Access and download statisticsCorrections
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:rsc:rsceui:2010/03. 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: RSCAS web unit (email available below). General contact details of provider: https://edirc.repec.org/data/rsiueit.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.