An Empirical Examination of Deregulated Electricity Prices

By Christopher R. Knittel, Michael R. Roberts. 2001

134 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Electrical and Electronic Engineering

View Paper: https://www.semanticscholar.org/paper/43f41eb66737d272bf738d2dc63681ab2609a295

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In Electrical and Electronic Engineering

Citations in the corpus

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005, methodology): “Schwartz [16] accounts for the mean reversion, and Lućıa and Schwartz [12] extend the mean reverting model to account for a deterministic seasonality.”
A spot market model for pricing derivatives in electricity markets (2004, unknown): “In [22] it is suggested to use equation (3) with a long run mean a t describing the seasonal patterns.”
Modeling and forecasting electricity prices with input/output hidden Markov models (2005, background): “An interesting model in this group is the mean-reversion model [10].”
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (2008, background): “We mention that there also exist a variety of econometric time series models (see e.g. [7, 12, 13, 14] and references therein).”
Stochastic modeling of financial electricity contracts (2008, background): “Knittel and Roberts [36] use hourly DA prices and stack the data into one long time series.”
Modelling Electricity Prices: International Evidence (2002, background): “…meanreverting models, for instance, Bhanot (2000), Karesen and Husby (2000), Lucia and Schwartz (2001) and Knittel and Roberts (2001) there are also some recent papers that characterize electricity prices as non-mean reverting, see for examnple De Vany and Walls (1999) and Leon and Rubia (2001).”
Electricity derivatives and risk management (2006, methodology): “Approaches to characterize market prices include discrete-time time series models such as GARCH and its variants [27–32], Markov regime-switching models [33], continuous-time diffusion models such”
The Nature of Power Spikes: A Regime-Switch Approach (2005, unknown): “…and Reis (1998), Pilipovic (1998), Pirrong and Jermakyan (1999, 2000), Lucia and Schwartz (2002), Bhanot (2000), Deng (2000), Kholodnyi (2003), Knittel and Roberts (2001), Huisman and Mahieu (2001), Escribano, Pena and Villaplana (2002), De Jong and Huisman (2003) and Geman and Roncoroni…”
Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, background): “The adoption of an EGARCH formulation for volatility is motivated by Knittel and Roberts (2001), who argue that the convex nature of the marginal costs of electricity generation causes positive demand shocks to have a larger impact on price changes than negative shocks.”
Spot and Derivative Pricing in the EEX Power Market (2007, methodology): “For the deterministic seasonal component ft sinusoidal (Pilipovic, 1997; Weron et al., 2004a), constant piece-wise functions (Pindyck, 1999; Knittel and Roberts, 2001; Huisman and De Jong, 2003; Haldrup and Nielsen, 2004), a combination of both methods (Lucia and Schwartz, 2002; De Jong, 2005;…”