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A spot-forward model for electricity prices with regime shifts

Paraschiv, Florentina; Fleten, Stein-Erik; Schürle, Michael
Journal article, Preprint, Peer reviewed
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URI
http://hdl.handle.net/11250/2389490
Date
2014
Metadata
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  • Institutt for industriell økonomi og teknologiledelse [1894]
  • Publikasjoner fra CRIStin - NTNU [19736]
Original version
Energy Economics 2014, 47:142-153   10.1016/j.eneco.2014.11.003
Abstract
We propose a novel regime-switching approach for electricity prices in which simulated and forecasted prices are consistent with currently observed forward prices. Additionally, the model is able to reproduce spikes and negative prices. We distinguish between a base regime as well as upper and lower spike regimes. We derive hourly price forward curves for EEX Phelix, and together with historical hourly spot prices, historical hourly price forward curves are the basis for model calibration. The model can be used for simulation and forecasting of electricity spot prices over short- and medium-term horizons. Tests imply that it shows a better performance than classical time series approaches.
Publisher
Elsevier
Journal
Energy Economics

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