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Efficient modeling and forecasting of electricity spot prices
Ziel, Florian; Steinert, Rick; Husmann, Sven - In: Energy Economics 47 (2015) C, pp. 98-111
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices of the European Power Exchange (EPEX) which...
Persistent link: https://www.econbiz.de/10011189287
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Forecasting the oil–gasoline price relationship: Do asymmetries help?
Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - In: Energy Economics 46 (2014) S1, pp. 44-44
forecasting performance of econometric models incorporating asymmetric price transmission from crude oil to gasoline. In this … sign and probability forecasts. Finally, we highlight that the forecasting performance of the estimated models is time-varying. …
Persistent link: https://www.econbiz.de/10011115916
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Forecasting Italian electricity zonal prices with exogenous variables
Gianfreda, Angelica; Grossi, Luigi - In: Energy Economics 34 (2012) 6, pp. 2228-2239
forecasting performance of selected models showing that they perform better when these factors are considered. …
Persistent link: https://www.econbiz.de/10010588002
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A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models
Xu, Bing; Ouenniche, Jamal - In: Energy Economics 34 (2012) 2, pp. 576-583
large number of forecasting models have been designed to forecast crude oil prices' volatility, so far the relative … performance evaluation of competing forecasting models remains an exercise that is unidimensional in nature. To be more specific …
Persistent link: https://www.econbiz.de/10010571716
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A spot-forward model for electricity prices with regime shifts
Paraschiv, Florentina; Fleten, Stein-Erik; Schürle, Michael - In: Energy Economics 47 (2015) C, pp. 142-153
calibration. The model can be used for simulation and forecasting of electricity spot prices over short- and medium-term horizons …
Persistent link: https://www.econbiz.de/10011189279
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Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices
He, Ling T.; Casey, K.M. - In: Energy Economics 47 (2015) C, pp. 121-128
Index. Results of this study reveal the substantial forecasting ability of the sentiment endurance index. Monthly and … index shows decent forecasting ability on changes in crude oil prices, especially, WTI prices. The accuracy of 6-quarter … rolling forecasts is 55%. The sentiment endurance index, along with the procedure of true forecasting and accuracy ratio …
Persistent link: https://www.econbiz.de/10011189280
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Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data
Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; … - In: Energy Economics 33 (2011) 6, pp. 1206-1215
This is the first paper to utilize intra-daily high-frequency data and to apply known market measures for the prediction of volatility in the Nord Pool electricity forward market. The work is based on recent methods of separating realized volatility into two components: continuous and jump...
Persistent link: https://www.econbiz.de/10011039661
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Modeling EU allowances and oil market interdependence. Implications for portfolio management
Reboredo, Juan C. - In: Energy Economics 36 (2013) C, pp. 471-480
This paper examines the dependence structure between European Union allowances (EUAs) and crude oil markets during the second commitment period of the European Union Emissions Trading Scheme and the implications for portfolio management. Using different copula models, our findings suggest...
Persistent link: https://www.econbiz.de/10010868771
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Nonlinearity in cap-and-trade systems: The EUA price and its fundamentals
Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - In: Energy Economics 40 (2013) C, pp. 222-232
In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...
Persistent link: https://www.econbiz.de/10011039535
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Why do electricity prices jump? Empirical evidence from the Nordic electricity market
Hellström, Jörgen; Lundgren, Jens; Yu, Haishan - In: Energy Economics 34 (2012) 6, pp. 1774-1781
The paper empirically explores the possible causes behind electricity price jumps in the Nordic electricity market … prices is used to identify price jumps. By the model, a categorical variable is defined distinguishing no, positive and … negative jumps. The causes for the jumps are then explored through the use of ordered probit models in a second stage. The …
Persistent link: https://www.econbiz.de/10011039584