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2010-02-04Buch DOI: 10.18452/4241
The dynamics of hourly electricity prices
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorTrück, Stefan
dc.date.accessioned2017-06-16T00:05:48Z
dc.date.available2017-06-16T00:05:48Z
dc.date.created2010-05-27
dc.date.issued2010-02-04
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4893
dc.description.abstractThe dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in order to verify that the schedule is feasible and lies within transmission constraints. Instead agents have to submit their bids and offers for delivery of electricity for all hours of the next day before a specified market closing time. We suggest the use of dynamic semiparametric factor models (DSFM) for the behavior of hourly electricity prices. We find that a model with three factors is able to explain already a high proportion of the variation in hourly electricity prices. Our analysis also provides insights into the characteristics of the market, in particular with respect to the driving factors of hourly prices and their dynamic behavior through time.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectPower Marketseng
dc.subjectDynamic Semiparametric Factor Modelseng
dc.subjectDay-ahead Electricity Priceseng
dc.subject.ddc330 Wirtschaft
dc.titleThe dynamics of hourly electricity prices
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100111266
dc.identifier.doihttp://dx.doi.org/10.18452/4241
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue13
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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