Spot and Derivative Pricing in the EEX Power Market
Using spot and futures price data from the German EEX Power market, we test the adequacy of various one-factor and two-factor models for electricity spot prices. The models are compared along two different dimensions: (1) We assess their ability to explain the major data characteristics and (2) the forecasting accuracy for expected future spot prices is analyzed. We find that the regime switching models clearly out- perform its competitors in almost all respects. The best results are obtained using a two-regime model with a Gaussian distribution in the spike regime. Furthermore, for short and medium-term periods our results underpin the frequently stated hy- pothesis that electricity futures quotes are consistently greater than the expected future spot, a situation which is denoted as contango.
Impact and interest:
Citation countsare sourced monthly fromand citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
|Item Type:||Journal Article|
|Additional Information:||For more information, please refer to the publisher's website (link above) or contact the author: email@example.com|
|Keywords:||Power Markets, Spot Price Modeling, Regime Switching Models, Forward Premium|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2007 Elsevier.|
|Deposited On:||20 Jun 2007|
|Last Modified:||11 Aug 2011 02:58|
Repository Staff Only: item control page