Modelling Electricity Prices: International Evidence

By Álvaro Escribano, J. Peña, Pablo Villaplana. 2002

362 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Electrical and Electronic Engineering

View Paper: https://www.semanticscholar.org/paper/34cc6ff6fd098f5e3ab0903d6f7ae1172663d206

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Citations in the corpus

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (2006, background): “To circumvent this, Escribano et al. (2002) allowed signed jumps. But if these randomly follow each other, the spike shape has obviously a very low probability of being generated. Geman and Roncoroni (2006) suggested using mean reversion coupled with upward and downward jumps, with the direction of ”
Electricity price forecasting using sale and purchase curves: The X-Model (2015, background): “Second, there are diﬀusion models, which add a jump component, e.g. a Poisson process, to allow for price spikes (see, for instance Weron (2008), Escribano et al. (2011)).”
Probabilistic forecasts of the magnitude and timing of peak electricity demand (2005, neutral): “In addition, forecasts of demand have become even more important because they are also required for estimating future electricity spot prices [1], [2].”
Electricity prices, large-scale renewable integration, and policy implications (2017, background): “These properties, or stylized facts, have been investigated by a substantial body of literature, including studies by Knittel and Roberts (2005), Higgs and Worthington (2008), Karakatsani and Bunn (2008), Escribano et al. (2011), and Fanone et al. (2013).”
Does renewable energy generation decrease the volatility of electricity prices? An analysis of Denmark and Germany (2017, neutral): “Because power markets exhibit a high degree of volatility and volatility clustering [12], GARCH models can also be used to analyse electricity prices.”
The Nature of Power Spikes: A Regime-Switch Approach (2005, neutral): “The most common approach is the addition of a stochastic jump process to the mean-reverting process (Escribano et al, 2002, Deng, 1999).”