Christensen, T.M., Hurn, A.S. and Lindsay, K.A. (2012) Forecasting spikes in electricity prices. International Journal of Forecasting, 28(2), pp. 400-411. (doi: 10.1016/j.ijforecast.2011.02.019)
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Abstract
In many electricity markets, retailers purchase electricity at an unregulated spot price and sell to consumers at a heavily-regulated price. Consequently the occurrence of extreme movements in the spot price represent a major source of risk to retailers and the accurate forecasting of these extreme events or price spikes is an important aspect of effective risk management. Traditional approaches to modeling electricity prices are aimed primarily at predicting the trajectory of spot prices. By contrast, this paper focus exclusively on the prediction of extreme events or spikes in electricity prices. The time course of price spikes is treated as a realization of a discrete-time point process. A nonlinear variant of the autoregressive conditional hazard model is used to analyze variables thought to drive this process. The forecasting performance of the model is evaluated against a benchmark that is consistent with the assumptions of commonly-used electricity pricing models. Applications to the electricity futures market are also discussed.
Item Type: | Articles |
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Status: | Published |
Refereed: | Yes |
Glasgow Author(s) Enlighten ID: | Lindsay, Professor Kenneth |
Authors: | Christensen, T.M., Hurn, A.S., and Lindsay, K.A. |
Subjects: | H Social Sciences > HA Statistics |
College/School: | College of Science and Engineering > School of Mathematics and Statistics > Mathematics |
Journal Name: | International Journal of Forecasting |
ISSN: | 0169-2070 |
ISSN (Online): | 1872-8200 |
Published Online: | 01 June 2011 |
Copyright Holders: | Copyright © 2011 Elsevier |
First Published: | First published in International Journal of Forecasting 28 (2) 400 - 411 |
Publisher Policy: | Reproduced in accordance with the copyright policy of the publisher |
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