Alvaro Escribano
Álvaro Escribano is Professor at the Department of Economics, Universidad Carlos III de Madrid and Telefonica-UC3M Chair on “Economics of Telecommunications".
Articles by this Author
Modeling electricity prices: international evidence
- By Alvaro Escribano
- Published 10/1/2007
- Price modeling
- Unrated
Keywords: electricity prices, seasonality, mean reversion, GARCH, jumps, unit root test, bootstrap.
Published in:
Publication year: 2002
Co-author 1: Juan Ignaicio Pena
Co-author 2: Pablo Villaplana
This paper analyses the evolution of electricity prices in deregulated markets. We present a general model that simultaneously takes into account the possibility of several factors: seasonality, mean reversion, GARCH behaviour and time-dependent jumps. The model is applied to equilibrium spot prices of electricity markets from Argentina, Australia (Victoria), New Zealand (Hayward), NordPool, and Spain using daily data. Six different nested models were estimated to compare the relative importance of each factor and their interactions. We obtained that electricity prices are mean-reverting with strong volatility (GARCH) and jumps of time-dependent intensity even after adjusting for seasonality. We also provide a detailed unit root analysis of electricity prices against mean reversion, in the presence of jumps and GARCH errors, and propose a new powerful procedure based on bootstrap techniques.
Published in:
Publication year: 2002
Co-author 1: Juan Ignaicio Pena
Co-author 2: Pablo Villaplana
This paper analyses the evolution of electricity prices in deregulated markets. We present a general model that simultaneously takes into account the possibility of several factors: seasonality, mean reversion, GARCH behaviour and time-dependent jumps. The model is applied to equilibrium spot prices of electricity markets from Argentina, Australia (Victoria), New Zealand (Hayward), NordPool, and Spain using daily data. Six different nested models were estimated to compare the relative importance of each factor and their interactions. We obtained that electricity prices are mean-reverting with strong volatility (GARCH) and jumps of time-dependent intensity even after adjusting for seasonality. We also provide a detailed unit root analysis of electricity prices against mean reversion, in the presence of jumps and GARCH errors, and propose a new powerful procedure based on bootstrap techniques.
Modelling electricity prices: International evidence
- By Alvaro Escribano
- Published 12/17/2007
- Price modeling
- Unrated
Keywords:
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.
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.