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Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects

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Cited by:

  1. Haugom, Erik & Ullrich, Carl J., 2012. "Forecasting spot price volatility using the short-term forward curve," Energy Economics, Elsevier, vol. 34(6), pages 1826-1833.
  2. Hung Do & Rabindra Nepal & Russell Smyth, 2020. "Interconnectedness in the Australian National Electricity Market: A Higher‐Moment Analysis," The Economic Record, The Economic Society of Australia, vol. 96(315), pages 450-469, December.
  3. Mile Bošnjak, 2018. "Swiss Franc from the Croatian Perspective," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 7(3), pages 41-56.
  4. Higgs, Helen & Lien, Gudbrand & Worthington, Andrew C., 2015. "Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility," Economic Analysis and Policy, Elsevier, vol. 48(C), pages 172-181.
  5. Wild, Phillip & Hinich, Melvin J. & Foster, John, 2010. "Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?," Energy Economics, Elsevier, vol. 32(5), pages 1082-1091, September.
  6. Branimir Cvitko Cicvarić, 2020. "Volatility of Cryptocurrencies," Notitia - journal for economic, business and social issues, Notitia Ltd., vol. 1(6), pages 13-23, December.
  7. Herrera, Rodrigo & González, Nicolás, 2014. "The modeling and forecasting of extreme events in electricity spot markets," International Journal of Forecasting, Elsevier, vol. 30(3), pages 477-490.
  8. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Post-Print halshs-00259225, HAL.
  9. 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.
  10. Segnon Mawuli & Lau Chi Keung & Wilfling Bernd & Gupta Rangan, 2022. "Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 73-98, February.
  11. Kalantzis, Fotis G. & Milonas, Nikolaos T., 2013. "Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany," Energy Economics, Elsevier, vol. 36(C), pages 454-463.
  12. Stuart Thomas & Vikash Ramiah & Heather Mitchell & Richard Heaney, 2011. "Seasonal factors and outlier effects in rate of return on electricity spot prices in Australia's National Electricity Market," Applied Economics, Taylor & Francis Journals, vol. 43(3), pages 355-369.
  13. Ullrich, Carl J., 2012. "Realized volatility and price spikes in electricity markets: The importance of observation frequency," Energy Economics, Elsevier, vol. 34(6), pages 1809-1818.
  14. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021. "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, vol. 103(C).
  15. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
  16. Santosh Kumar & Md. Alamgir & Birau Ramona & Bharat Kumar Meher & Abhishek Anand & Nioata (Chireac) Roxana-Mihaela & Cirjan Nadia Tudora, 2024. "Evaluating The Performance Of Garch Family Models In Estimating Investment Risk And Volatility: A Comparative Analysis Of Sensex And Nifty Index In India," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 222-238, June.
  17. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
  18. Sinha, Pankaj & Mathur, Kritika, 2016. "Empirical Analysis of Developments in the Day Ahead Electricity Markets in India," MPRA Paper 72969, University Library of Munich, Germany.
  19. Wang, Tao & Yang, Jian, 2010. "Nonlinearity and intraday efficiency tests on energy futures markets," Energy Economics, Elsevier, vol. 32(2), pages 496-503, March.
  20. Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.
  21. Hickey, Emily & Loomis, David G. & Mohammadi, Hassan, 2012. "Forecasting hourly electricity prices using ARMAX–GARCH models: An application to MISO hubs," Energy Economics, Elsevier, vol. 34(1), pages 307-315.
  22. Renato Fernandes & Isabel Soares, 2022. "Reviewing Explanatory Methodologies of Electricity Markets: An Application to the Iberian Market," Energies, MDPI, vol. 15(14), pages 1-17, July.
  23. Higgs, Helen & Worthington, Andrew, 2008. "Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market," Energy Economics, Elsevier, vol. 30(6), pages 3172-3185, November.
  24. 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).
  25. Higgs, Helen, 2009. "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 748-756, September.
  26. Zorana Zoran Stanković & Milena Nebojsa Rajic & Zorana Božić & Peđa Milosavljević & Ancuța Păcurar & Cristina Borzan & Răzvan Păcurar & Emilia Sabău, 2024. "The Volatility Dynamics of Prices in the European Power Markets during the COVID-19 Pandemic Period," Sustainability, MDPI, vol. 16(6), pages 1-16, March.
  27. Rabindra Nepal & John Foster, 2016. "Testing for Market Integration in the Australian National Electricity Market," The Energy Journal, , vol. 37(4), pages 215-238, October.
  28. Zorana Božić & Dušan Dobromirov & Jovana Arsić & Mladen Radišić & Beata Ślusarczyk, 2020. "Power Exchange Prices: Comparison of Volatility in European Markets," Energies, MDPI, vol. 13(21), pages 1-15, October.
  29. Lilian de Menezes & Melanie A. Houllier, 2013. "Modelling Germany´s Energy Transition and its Potential Effect on European Electricity Spot Markets," EcoMod2013 5395, EcoMod.
  30. Hadsell, Lester, 2007. "The impact of virtual bidding on price volatility in New York's wholesale electricity market," Economics Letters, Elsevier, vol. 95(1), pages 66-72, April.
  31. Yasir Alsaedi & Gurudeo Anand Tularam & Victor Wong, 2019. "Application of ARIMA Modelling for the Forecasting of Solar, Wind, Spot and Options Electricity Prices: The Australian National Electricity Market," International Journal of Energy Economics and Policy, Econjournals, vol. 9(4), pages 263-272.
  32. Kumar SANTOSH & Meher Kumar BHARAT & Ramona BIRAU & Mircea Laurentiu SIMION & Anand ABHISHEK & Singh MANOHAR, 2023. "Quantifying Long-Term Volatility for Developed Stock Markets: An Empirical Case Study Using PGARCH Model on Toronto Stock Exchange (TSX)," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 61-68.
  33. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Rai, Alan & Konstandatos, Otto, 2022. "Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies," Energy Economics, Elsevier, vol. 115(C).
  34. Frömmel, Michael & Han, Xing & Kratochvil, Stepan, 2014. "Modeling the daily electricity price volatility with realized measures," Energy Economics, Elsevier, vol. 44(C), pages 492-502.
  35. Bharat Kumar Meher & Iqbal Thonse Hawaldar & Mathew Thomas Gil & Deebom Zorle Dum, 2021. "Measuring Leverage Effect of Covid 19 on Stock Price Volatility of Energy Companies Using High Frequency Data," International Journal of Energy Economics and Policy, Econjournals, vol. 11(6), pages 489-502.
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