Álvaro Escribano is Professor at the Department of Economics, Universidad Carlos III de Madrid and Telefonica-UC3M Chair on “Economics of Telecommunications".
Published in:
Publication year: 2001
Co-author 1: Juan Ignacio Pena
Co-author 2: Pablo Villaplana
This paper analyzes the evolution of electricity prices in deregulated markets. We develop a general model that simultaneously takes into account the possibility of seasonality, mean reversion, GARCH behavior and (time-dependent) jumps. We model the electricity prices of Argentina, Australia, New Zealand, NordPool and Spain using spot prices. We estimate five different nested models, that allow us to compare the relative importance of each factor and also certain interactions. Our results stress the importance of including GARCH and jumps with time-dependent intensity component in models of electricity prices.
This paper analyzes the evolution of electricity prices in deregulated markets. We develop a general model that simultaneously takes into account the possibility of seasonality, mean reversion, GARCH behavior and (time-dependent) jumps. We model the electricity prices of Argentina, Australia, New Zealand, NordPool and Spain using spot prices. We estimate five different nested models, that allow us to compare the relative importance of each factor and also certain interactions. Our results stress the importance of including GARCH and jumps with time-dependent intensity component in models of electricity prices.