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The Nature of Power Spikes: A Regime-Switch Approach
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Cited by:
- Serati, Massimiliano & Manera, Matteo & Plotegher, Michele, 2008.
"Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal,"
International Energy Markets Working Papers
44426, Fondazione Eni Enrico Mattei (FEEM).
- Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
- Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei.
- Stephen Machin & Olivier Marie & Sunčica Vujić, 2012.
"Youth Crime and Education Expansion,"
German Economic Review, Verein für Socialpolitik, vol. 13(4), pages 366-384, November.
- Machin Stephen & Vujić Sunčica & Marie Olivier, 2012. "Youth Crime and Education Expansion," German Economic Review, De Gruyter, vol. 13(4), pages 366-384, December.
- Machin, S. & Marie, O. & Vujic, S., 2012. "Youth crime and education expansion," ROA Research Memorandum 009, Maastricht University, Research Centre for Education and the Labour Market (ROA).
- Machin, S. & Marie, O. & Vujic, S., 2012. "Youth crime and education expansion," Research Memorandum 036, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Machin, Stephen & Marie, Olivier & Vujic, Suncica, 2012. "Youth Crime and Education Expansion," IZA Discussion Papers 6582, Institute of Labor Economics (IZA).
- Xiong, Heng & Mamon, Rogemar, 2019. "A higher-order Markov chain-modulated model for electricity spot-price dynamics," Applied Energy, Elsevier, vol. 233, pages 495-515.
- Samet G nay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
- Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
- Leif Andersen, 2010. "Markov models for commodity futures: theory and practice," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 831-854.
- Afanasyev, Dmitriy & Fedorova, Elena, 2015. "The long-term trends on Russian electricity market: comparison of empirical mode and wavelet decompositions," MPRA Paper 62391, University Library of Munich, Germany.
- 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.
- Mari, Carlo & Tondini, Daniela, 2010. "Regime switches induced by supply–demand equilibrium: a model for power-price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4819-4827.
- Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- 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.
- Afanasyev, Dmitriy O. & Fedorova, Elena A. & Popov, Viktor U., 2015.
"Fine structure of the price–demand relationship in the electricity market: Multi-scale correlation analysis,"
Energy Economics, Elsevier, vol. 51(C), pages 215-226.
- Afanasyev, Dmitriy & Fedorova, Elena & Popov, Viktor, 2014. "Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis," MPRA Paper 58827, University Library of Munich, Germany.
- Erlwein, Christina & Benth, Fred Espen & Mamon, Rogemar, 2010. "HMM filtering and parameter estimation of an electricity spot price model," Energy Economics, Elsevier, vol. 32(5), pages 1034-1043, September.
- Emanuele Fabbiani & Andrea Marziali & Giuseppe De Nicolao, 2018. "Fast calibration of two-factor models for energy option pricing," Papers 1809.03941, arXiv.org, revised Dec 2020.
- Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
- 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.
- Tafakori, Laleh & Pourkhanali, Armin & Fard, Farzad Alavi, 2018. "Forecasting spikes in electricity return innovations," Energy, Elsevier, vol. 150(C), pages 508-526.
- Weron, Rafał & Zator, Michał, 2015.
"A note on using the Hodrick–Prescott filter in electricity markets,"
Energy Economics, Elsevier, vol. 48(C), pages 1-6.
- Rafal Weron & Michal Zator, 2014. "A note on using the Hodrick-Prescott filter in electricity markets," HSC Research Reports HSC/14/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- 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 Science and Technology.
- Janczura, Joanna & Weron, Rafal, 2010.
"Goodness-of-fit testing for regime-switching models,"
MPRA Paper
22871, University Library of Munich, Germany.
- Janczura, Joanna & Weron, Rafal, 2011. "Goodness-of-fit testing for the marginal distribution of regime-switching models," MPRA Paper 32532, University Library of Munich, Germany.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013.
"Robust estimation and forecasting of the long-term seasonal component of electricity spot prices,"
Energy Economics, Elsevier, vol. 39(C), pages 13-27.
- Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper 42563, University Library of Munich, Germany.
- Mari, Carlo & Cananà, Lucianna, 2012. "Markov switching of the electricity supply curve and power prices dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1481-1488.
- Rafal Weron & Florian Ziel, 2018.
"Electricity price forecasting,"
HSC Research Reports
HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Katarzyna Maciejowska & Rafal Weron, 2019. "Electricity price forecasting," HSC Research Reports HSC/19/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Andreas Gerster, 2016. "Negative price spikes at power markets: the role of energy policy," Journal of Regulatory Economics, Springer, vol. 50(3), pages 271-289, December.
- Scarcioffolo, Alexandre Ribeiro & Perobelli, Fernanda Finotti Cordeiro & Chimeli, Ariaster Baumgratz, 2018.
"Counterfactual comparisons of investment options for wind power and agricultural production in the United States: Lessons from Northern Ohio,"
Energy Economics, Elsevier, vol. 74(C), pages 299-309.
- Alexandre Ribeiro Scarcioffolo & Fernanda Finotti Perobelli, Ariaster Baumgratz Chimeli, 2018. "Counterfactual comparisons of investment options for wind power and agricultural production in the United States: Lessons from Northern Ohio," Working Papers, Department of Economics 2018_04, University of São Paulo (FEA-USP).
- Ribeiro Scarcioffolo, Alexandre & Finotti Cordeiro Perobelli, Fernanda & Baumgratz Chimeli, Ariaster, 2018. "Counterfactual Comparisons of Investment Options for Wind Power and Agricultural Production in the United States: Lessons from Northern Ohio," TD NEREUS 1-2018, Núcleo de Economia Regional e Urbana da Universidade de São Paulo (NEREUS).
- Arvesen, Ø. & Medbø, V. & Fleten, S.-E. & Tomasgard, A. & Westgaard, S., 2013.
"Linepack storage valuation under price uncertainty,"
Energy, Elsevier, vol. 52(C), pages 155-164.
- Arvesen, Øystein & Medbø, Vegard & Fleten, Stein-Erik & Tomasgard, Asgeir & Westgaard, Sjur, 2012. "Linepack storage valuation under price uncertainty," MPRA Paper 43270, University Library of Munich, Germany.
- Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
- 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.
- Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
- 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.
- 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.
- Joanna Janczura & Rafal Weron, 2011. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Ballester, Cristina & Furió, Dolores, 2015. "Effects of renewables on the stylized facts of electricity prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 1596-1609.
- Timothy Christensen & Stan Hurn & Kenneth Lindsay, 2009.
"It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 25-48.
- T M Christensen & A S Hurn & K A Lindsay, 2008. "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series 25, National Centre for Econometric Research.
- 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.
- Díaz, Guzmán & Moreno, Blanca & Coto, José & Gómez-Aleixandre, Javier, 2015. "Valuation of wind power distributed generation by using Longstaff–Schwartz option pricing method," Applied Energy, Elsevier, vol. 145(C), pages 223-233.
- Lindström, Erik & Norén, Vicke & Madsen, Henrik, 2015. "Consumption management in the Nord Pool region: A stability analysis," Applied Energy, Elsevier, vol. 146(C), pages 239-246.
- Lindström, Erik & Regland, Fredrik, 2012. "Modeling extreme dependence between European electricity markets," Energy Economics, Elsevier, vol. 34(4), pages 899-904.
- 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.
- Bannör, Karl & Kiesel, Rüdiger & Nazarova, Anna & Scherer, Matthias, 2016. "Parametric model risk and power plant valuation," Energy Economics, Elsevier, vol. 59(C), pages 423-434.
- Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
- 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.
- Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
- Kalczynski, Pawel J., 2012. "A discrete model for optimal operation of fossil-fuel generators of electricity," European Journal of Operational Research, Elsevier, vol. 216(3), pages 679-686.
- Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015. "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, vol. 48(3), pages 245-284, December.
- Rafał Weron, 2009.
"Heavy-tails and regime-switching in electricity prices,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
- Weron, Rafal, 2008. "Heavy-tails and regime-switching in electricity prices," MPRA Paper 10424, University Library of Munich, Germany.
- Ismail Shah & Hasnain Iftikhar & Sajid Ali, 2020. "Modeling and Forecasting Medium-Term Electricity Consumption Using Component Estimation Technique," Forecasting, MDPI, vol. 2(2), pages 1-17, May.
- Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
- Eichler, M. & Türk, D.D.T., 2012. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Д.О. Афанасьев1 & * & Е.А. Федорова2 & **, 2019. "Краткосрочное Прогнозирование Цены Электроэнергии На Российском Рынке С Использованием Класса Моделей Scarx," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(1), pages 68-84, январь.
- Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
- Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, September.
- Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(1), pages 13-49.
- Dmitriy O. Afanasyev & Elena A. Fedorova & Evgeniy V. Gilenko, 2021. "The fundamental drivers of electricity price: a multi-scale adaptive regression analysis," Empirical Economics, Springer, vol. 60(4), pages 1913-1938, April.
- Manner, Hans & Alavi Fard, Farzad & Pourkhanali, Armin & Tafakori, Laleh, 2019. "Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae," Energy Economics, Elsevier, vol. 78(C), pages 143-164.
- Fanone, Enzo & Gamba, Andrea & Prokopczuk, Marcel, 2013. "The case of negative day-ahead electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 22-34.
- Erik Lindström & Fredric Regland, 2012. "Independent Spike Models: Estimation and Validation," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(2), pages 180-196, May.
- Ismail Shah & Hasnain Iftikhar & Sajid Ali & Depeng Wang, 2019. "Short-Term Electricity Demand Forecasting Using Components Estimation Technique," Energies, MDPI, vol. 12(13), pages 1-17, July.
- Niu, Shilei & Insley, Margaret, 2016. "An options pricing approach to ramping rate restrictions at hydro power plants," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 25-52.
- Mosquera-López, Stephanía & Uribe, Jorge M. & Manotas-Duque, Diego Fernando, 2017. "Nonlinear empirical pricing in electricity markets using fundamental weather factors," Energy, Elsevier, vol. 139(C), pages 594-605.
- Afanasyev, Dmitriy O. & Fedorova, Elena A., 2016. "The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions," Energy Economics, Elsevier, vol. 56(C), pages 432-442.
- Janczura, Joanna & Weron, Rafal, 2009. "Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions," MPRA Paper 18784, University Library of Munich, Germany.
- Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
- Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
- Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook0601, December.
- Apergis, Nicholas & Gozgor, Giray & Lau, Chi Keung Marco & Wang, Shixuan, 2019. "Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model," Energy Economics, Elsevier, vol. 78(C), pages 129-142.
- Gerster, Andreas, 2016. "Negative price spikes at power markets: The role of energy policy," Ruhr Economic Papers 636, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Mosquera-López, Stephanía & Uribe, Jorge M. & Manotas-Duque, Diego F., 2018. "Effect of stopping hydroelectric power generation on the dynamics of electricity prices: An event study approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 456-467.
- Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
- Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.