Modelling interregional links in electricity price spikes
Abnormally high price spikes in spot electricity markets represent a significant risk to market participants. As such, a literature has developed that focuses on forecasting the probability of such spike events, moving beyond simply forecasting the level of price. Many univariate time series models have been proposed to dealwith spikes within an individual market region. This paper is the first to develop a multivariate self-exciting point process model for dealing with price spikes across connected regions in the Australian National Electricity Market. The importance of the physical infrastructure connecting the regions on the transmission of spikes is examined. It is found that spikes are transmitted between the regions, and the size of spikes is influenced by the available transmission capacity. It is also found that improved risk estimates are obtained when inter-regional linkages are taken into account.
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|Item Type:||Journal Article|
|Keywords:||electricity prices, price spikes, point process, Hawkes process, peaks over threshold, transmission capacity|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2015 Elsevier BV|
|Deposited On:||09 Sep 2015 00:25|
|Last Modified:||07 Sep 2016 00:58|
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