Modelling prices in competitive electricity markets

By D. W. Bunn. 2004

219 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9367f9e58b10c6b383ba353b849c439de1766be8

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Citations in the corpus

An empirical comparison of alternate schemes for combining electricity spot price forecasts (2013, unknown): “Like other commodities, electricity is now traded under competitive rules using spot and derivative contracts (Bunn, 2004; Shahidehpour et al., 2002).”
Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices (2007, background): “The mean process of electricity log prices can not simply be described by a random walk because of its specific characteristics, see Escribano, Peña, and Villaplana (2002) and Bunn and Karakatsani (2003) for reviews of the salient features of electricity prices.”
Stochastic Joint Optimization of Wind Generation and Pumped-Storage Units in an Electricity Market (2008, background): “There are many different approaches for analyzing and forecasting electricity prices [12].”
An empirical comparison of alternate regime-switching models or electricity spot prices (2010, background): “Keywords: Electricity spot price, Spikes, Markov regime-switching, Heteroscedasticity, Inverse leverage effect.”
Optimization of Electricity Retailer's Contract Portfolio Subject to Risk Preferences (2010, unknown): “nancial markets [11], [12].”
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”
Generation Capacity Expansion in Liberalized Electricity Markets: A Stochastic MPEC Approach (2011, unknown): “The estimation of the conjectured price response is typically based on historical data and there exist implicit methods [19] (adjusting past market prices) and explicit methods [20].”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, background): “…for riskmanagement and derivatives valuation, rather than on day-ahead price forecasting; see for example Benth, Benth, and Koekebakker (2008); Bunn (2004); Burger, Graeber, and Schindlmayr (2007); Eydeland and Wolyniec (2003); Fiorenzani (2006); Huisman (2009); Keppler, Bourbonnais andGirod…”