Modelling interregional links in electricity price spikes

Clements, A.E., Herrera, R., & Hurn, A.S. (2015) Modelling interregional links in electricity price spikes. Energy Economics, 51, pp. 383-393.

View at publisher


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.

Impact and interest:

0 citations in Scopus
Search Google Scholar™

Citation counts are sourced monthly from Scopus and Web of Science® 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 the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

ID Code: 87331
Item Type: Journal Article
Refereed: Yes
Additional URLs:
Keywords: electricity prices, price spikes, point process, Hawkes process, peaks over threshold, transmission capacity
DOI: 10.1016/j.eneco.2015.07.014
ISSN: 1873-6181
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

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page