Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters
By T. Mount, Yumei Ning, Xiaobin Cai. 2006
261 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Electrical and Electronic Engineering
View Paper: https://www.semanticscholar.org/paper/61a21a5e1e8f36874407cae82f777c8e5d12e316
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Rafal Weron
- Evangelos Spiliotis
- Spyros Makridakis
In Electrical and Electronic Engineering
- Florian Ziel
- Rafal Weron
- Pierre Pinson
- Janina Ketterer
- Thordis Linda Thorarinsdottir
- Fotios Petropoulos
- Christoph Bergmeir
- Ricardo J. Bessa
Citations in the corpus
- Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “Sample applications of this approach include those of Bordignon, Bunn, Lisi, and Nan (2013); Karakatsani and Bunn (2008); Kosater and Mosler (2006) and Mount, Ning, and Cai (2006).”
- A review of electricity product differentiation (2014, background): “Since spot electricity prices are highly volatile with occasional spikes [57–68], LSEs and customers may seek to manage electricity spot-price risk using such hedge instruments as, tolling agreements, forward contracts, and capacity options that are traded in financial markets [69–74].”
- The impact of wind power generation on the electricity price in Germany (2014, background): “Mount et al. (2006) and Karakatsani and Bunn (2010) emphasise that variables for demand and reserve margins should be included to better understand price movements.”
- Forecasting: theory and practice (2020, methodology): “This approach is followed by Mount et al. (2006) and Becker et al. (2008). The first paper focuses on regime-switching models with parameters driven by time-varying variables.”
- Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets (2016, background): “…Johnsen, 2001; Bessembinder and Lemmon, 2002, 2006; Longstaff and Wang, 2004; Knittel and Roberts, 2005; Park et al., 2006; Haldrup and Nielsen, 2006; Mount et al., 2006; Weron, 2006; Guthrie and Videbeck, 2007; Benth and Koekebakker, 2008; Karakatsani and Bunn, 2008; Redl et al., 2009; Marckhoff…”