Spot and Derivative Pricing in the EEX Power Market

By Michael Bierbrauer, Christian Menn, Svetlozar T. Rachev, Stefan Trück. 2007

205 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Electrical and Electronic Engineering, Finance

View Paper: https://www.semanticscholar.org/paper/edd9e4649d415c7a566bb5d72ae938f7cf7e68b9

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Citations in the corpus

An empirical comparison of alternate regime-switching models or electricity spot prices (2010, background): “In a related study Bierbrauer et al. (2007) introduced an IS 2-regime model with exponentially distributed spikes. For 2000-2003 EEX market data they found it inferior to MRS models with normal or log-normal spikes, but much better than the non-linear mean-reverting model of Barlow (2002) or the MRJ”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, methodology): “• sinusoidal functions or sums of sinusoidal functions of different frequencies (Benth et al., 2012; Bierbrauer et al., 2007; Cartea and Figueroa, 2005; De Jong, 2006; Geman and Roncoroni, 2006; Seifert and Uhrig-Homburg, 2007; Weron, 2008),”
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (2013, background): “While it is clear that price spikes should be captured by an adequate stochastic model, like mean reverting jump-diffusion (Bierbrauer et al., 2007; Borovkova and Permana, 2006; Cartea and Figueroa, 2005; Clewlow and Strickland, 2000; Geman and Rocor ni, 2006; Jabłónska et al., 2011; Nomikos and…”
The impact of wind power generation on the electricity price in Germany (2014, methodology): “According to Bierbrauer et al. (2007), Equation 3 can be rewritten for the deseasonalised log price in discrete time as Gaussian AR(1) process: yt = c + φyt−1 + ηt, where c = α · μ, φ = 1 − κ and η ∼ iidN(0, σ(2)).”
An empirical comparison of alternate schemes for combining electricity spot price forecasts (2013, unknown): “Note that unlike in derivatives pricing and risk management applications where daily average spot prices are typically used (see e.g. Bierbrauer et al., 2007; Janczura et al., 2013), in day-ahead forecasting of hourly electricity prices the long-term trend-seasonal component is usually not taken…”
Electricity markets around the world (2018, methodology): “…prices an interesting field for research and various studies have been conducted on modeling power prices, see, e.g. Lucia and Schwartz (2002); Weron et al. (2004b); Knittel and Roberts (2005); Bierbrauer et al. (2007); Seifert and Uhrig-Homburg (2007); Huisman et al. (2007), just to mention a few.”