Price dynamics in electricity markets
Series
International Series in Operations Research & Management Science
ISBN
978-1-4614-9034-0
Type
book section
Date Issued
2013
Author(s)
Editor(s)
Kovacevic, Raimund M.
Pflug, Georg Ch.
Vespucci, Maria Teresa
Abstract
With the liberalization of global power markets, modeling of exchange traded electricity contracts has attracted significantly the attention of both academic and industry. In this paper we offer an overview of the most common deseasonalization techniques and modeling approaches in the literature. We extract the deterministic component of EEX Phelix hourly electricity prices and we discuss different financial and time series models for their stochastic component. Additionally we apply Extreme Value Theory (EVT) to investigate the tails of the price changes distribution. Generally our results suggest EVT to be of interest to both risk managers and portfolio managers in the highly volatile electricity markets.
Language
English
Keywords
electricity prices
GARCH
Extreme Value Theory
Pilipovic model
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
No
Book title
Handbook of Risk Management in Energy Production and Trading
Publisher
Springer Science
Publisher place
Heidelberg
Number
Vol. 199
Start page
47
End page
69
Pages
23
Subject(s)
Eprints ID
225261