Kim, Jae Ho; Powell, Warren B. - In: Energy Economics 33 (2011) 6, pp. 1252-1266
We propose an hour-ahead prediction model for electricity prices that capture the heavy tailed behavior that we observe in the hourly spot market in the Ercot (Texas) and the PJM West hub grids. We present a model according to which we separate the price process into a thin-tailed trailing...