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The case of negative day-ahead electricity prices
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Fanone, Enzo, Gamba, Andrea and Prokopczuk, Marcel. (2011) The case of negative day-ahead electricity prices. Energy Economics . ISSN 0140-9883 (In Press)
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Official URL: http://dx.doi.org/10.1016/j.eneco.2011.12.006
Abstract
In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
| Journal or Publication Title: | Energy Economics |
| Publisher: | Elsevier BV |
| ISSN: | 0140-9883 |
| Date: | 2011 |
| Identification Number: | 10.1016/j.eneco.2011.12.006 |
| Status: | Peer Reviewed |
| Publication Status: | In Press |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/44786 |
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