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It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices

Citations

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Cited by:

  1. Lu, Ye & Suthaharan, Neyavan, 2023. "Electricity price spike clustering: A zero-inflated GARX approach," Energy Economics, Elsevier, vol. 124(C).
  2. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  3. Clements, A.E. & Hurn, A.S. & Li, Z., 2016. "Strategic bidding and rebidding in electricity markets," Energy Economics, Elsevier, vol. 59(C), pages 24-36.
  4. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  5. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  6. Joseph Mullins & Liam Wagner & John Foster, 2010. "Price Spikes in Electricity Markets: A Strategic Perspective," Energy Economics and Management Group Working Papers 05, School of Economics, University of Queensland, Australia.
  7. Loutfi, Ahmad Amine & Sun, Mengtao & Loutfi, Ijlal & Solibakke, Per Bjarte, 2022. "Empirical study of day-ahead electricity spot-price forecasting: Insights into a novel loss function for training neural networks," Applied Energy, Elsevier, vol. 319(C).
  8. Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron, 2014. "Modelling price spikes in electricity markets - the impact of load, weather and capacity," HSC Research Reports HSC/14/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  9. Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.
  10. Jiao, Ying & Ma, Chunhua & Scotti, Simone & Sgarra, Carlo, 2019. "A branching process approach to power markets," Energy Economics, Elsevier, vol. 79(C), pages 144-156.
  11. Daniel Manfre Jaimes & Manuel Zamudio López & Hamidreza Zareipour & Mike Quashie, 2023. "A Hybrid Model for Multi-Day-Ahead Electricity Price Forecasting considering Price Spikes," Forecasting, MDPI, vol. 5(3), pages 1-23, July.
  12. Pawel Maryniak & Rafal Weron, 2014. "Forecasting the occurrence of electricity price spikes in the UK power market," HSC Research Reports HSC/14/11, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  13. Lars Ivar Hagfors & Hilde Hørthe Kamperud & Florentina Paraschiv & Marcel Prokopczuk & Alma Sator & Sjur Westgaard, 2016. "Prediction of extreme price occurrences in the German day-ahead electricity market," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1929-1948, December.
  14. A. Stan Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2016. "A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(4), pages 707-733, June.
  15. Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series 03-14, Cologne Graduate School in Management, Economics and Social Sciences.
  16. Adam E. Clements & A. Stan Hurn & Zili Li, 2017. "The Effect of Transmission Constraints on Electricity Prices," The Energy Journal, , vol. 38(4), pages 145-163, July.
  17. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
  18. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
  19. Bajo-Buenestado, Raúl, 2021. "Operating reserve demand curve, scarcity pricing and intermittent generation: Lessons from the Texas ERCOT experience," Energy Policy, Elsevier, vol. 149(C).
  20. Eichler, M. & Grothe, O. & Manner, H. & Türk, D.D.T., 2012. "Modeling spike occurrences in electricity spot prices for forecasting," Research Memorandum 029, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  21. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
  22. 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.
  23. 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.
  24. Clements, A.E. & Herrera, R. & Hurn, A.S., 2015. "Modelling interregional links in electricity price spikes," Energy Economics, Elsevier, vol. 51(C), pages 383-393.
  25. Russo, Marianna & Kraft, Emil & Bertsch, Valentin & Keles, Dogan, 2022. "Short-term risk management of electricity retailers under rising shares of decentralized solar generation," Energy Economics, Elsevier, vol. 109(C).
  26. Galarneau-Vincent, Rémi & Gauthier, Geneviève & Godin, Frédéric, 2023. "Foreseeing the worst: Forecasting electricity DART spikes," Energy Economics, Elsevier, vol. 119(C).
  27. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
  28. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  29. Brown, David P. & Eckert, Andrew & Silveira, Douglas, 2023. "Screening for collusion in wholesale electricity markets: A literature review," Utilities Policy, Elsevier, vol. 85(C).
  30. Giorgia Callegaro & Andrea Mazzoran & Carlo Sgarra, 2019. "A Self-Exciting Modelling Framework for Forward Prices in Power Markets," Papers 1910.13286, arXiv.org.
  31. Manner, Hans & Türk, Dennis & Eichler, Michael, 2016. "Modeling and forecasting multivariate electricity price spikes," Energy Economics, Elsevier, vol. 60(C), pages 255-265.
  32. Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
  33. Brown, David P. & Eckert, Andrew & Silveira, Douglas, 2023. "Screening for Collusion in Wholesale Electricity Markets: A Review of the Literature," Working Papers 2023-7, University of Alberta, Department of Economics.
  34. Manuel Zamudio López & Hamidreza Zareipour & Mike Quashie, 2024. "Forecasting the Occurrence of Electricity Price Spikes: A Statistical-Economic Investigation Study," Forecasting, MDPI, vol. 6(1), pages 1-23, February.
  35. Adam Clements & Joanne Fuller & Stan Hurn, 2013. "Semi-parametric Forecasting of Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 89(287), pages 508-521, December.
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