This paper investigates the behaviour of prices in the Spanish electricity market liberalization during the period from June 29, 2001 to May 1, 2007. The work has two aims: First, conduct a descriptive analysis of the behaviour of the price series classified by time and intensity of demand. On...

The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of...

The paper analyzes volatility of the electricity prices in the Japanese day-ahead market using realized volatility. We use several jump tests to decompose total realized variation into jump and continuous components. Then, we estimate several HAR models that show the time-dependence structure of...