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How does market architecture affect price dynamics? A time series analysis of the Italian day-ahead electricity prices
Petrella, Andrea; Sapio, Sandro - 2009
April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …
Persistent link: https://www.econbiz.de/10010328538
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No PUN intended: A time series analysis of the Italian day-ahead electricity prices
Petrella, Andrea; Sapio, Sandro - Robert Schuman Centre for Advanced Studies (RSCAS), … - 2010
April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting …
Persistent link: https://www.econbiz.de/10008596160
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Electricity Price Forecast: a Comparison of Different Models to Evaluate the Single National Price in the Italian Energy Exchange Market
Cervone, Andrea; Santini, Ezio; Teodori, Sabrina; … - In: International Journal of Energy Economics and Policy 4 (2014) 4, pp. 744-758
In the last decades, electricity markets thoughout the Eurozone have undergone substantial changes. The deregulation of electricity markets stimulated investments in the production and distribution of energy, but there are large risks associated with these investments due to price volatility...
Persistent link: https://www.econbiz.de/10010961041
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Understanding the Fine Structure of Electricity Prices.
Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine - 2006
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...
Persistent link: https://www.econbiz.de/10008532430
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Understanding the Fine Structure of Electricity Prices
Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006
This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...
Persistent link: https://www.econbiz.de/10011166403
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Electricity price forecast : a comparison of different models to evaluate the single national price in the Italian energy exchange market
Cervone, Andrea; Santini, Ezio; Teodori, Sabrina; … - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 4, pp. 744-758
Persistent link: https://www.econbiz.de/10011286592
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Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015
method to jointly sample from an ARMA process of unknown order along with the associated parameters. We apply the method to …
Persistent link: https://www.econbiz.de/10011335461
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Dynamics of real per capita GDP
Neuhoff, Daniel - 2015
persistence estimates and the appropriate ARMA models. The results for the UK is sensitive to the time period. An analysis of the …
Persistent link: https://www.econbiz.de/10011380697
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Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2018
processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically … the unknown ARMA orders and their associated parameter spaces of varying dimensions. In estimating the technology process … results are insensitive to the choice of data filter; this contrasts with our ARMA estimates of GDP itself, which vary …
Persistent link: https://www.econbiz.de/10011902326
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Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
Meitz, Mika; Saikkonen, Pentti - 2012
We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally …/or noninvertible ARMA models and all-pass models, our estimation theory does allow for Gaussian innovations. We give conditions under …
Persistent link: https://www.econbiz.de/10010500222