The case of negative day-ahead electricity prices
Fanone, Enzo, Gamba, Andrea and Prokopczuk, Marcel. (2013) The case of negative day-ahead electricity prices. Energy Economics, Volume 35 . pp. 22-34. ISSN 0140-9883Full text not available from this repository.
Official URL: http://dx.doi.org/10.1016/j.eneco.2011.12.006
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|
|Official Date:||January 2013|
|Page Range:||pp. 22-34|
|Access rights to Published version:||Restricted or Subscription Access|
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