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dc.contributor.authorHiggs, Helenen_US
dc.contributor.authorWorthington, Andrewen_US
dc.contributor.editorRSJ Tolen_US
dc.date.accessioned2017-04-24T12:44:14Z
dc.date.available2017-04-24T12:44:14Z
dc.date.issued2008en_US
dc.date.modified2009-04-17T07:10:31Z
dc.identifier.issn01409883en_US
dc.identifier.urihttp://hdl.handle.net/10072/22289
dc.description.abstractIt is commonly known that wholesale spot electricity markets exhibit high price volatility, strong mean-reversion and frequent extreme price spikes. This paper employs a basic stochastic model, a mean-reverting model and a regime-switching model to capture these features in the Australian national electricity market (NEM), comprising the interconnected markets of New South Wales, Queensland, South Australia and Victoria. Daily spot prices from 1 January 1999 to 31 December 2004 are employed. The results show that the regime-switching model outperforms the basic stochastic and mean-reverting models. Electricity prices are also found to exhibit stronger mean-reversion after a price spike than in the normal period, and price volatility is more than fourteen times higher in spike periods than in normal periods. The probability of a spike on any given day ranges between 5.16 percent in NSW to 9.44 percent in Victoria.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_AU
dc.languageEnglishen_US
dc.language.isoen_AU
dc.publisherElsevieren_US
dc.publisher.placeNorth Holland, Netherlandsen_US
dc.relation.ispartofstudentpublicationNen_AU
dc.relation.ispartofpagefrom3172en_US
dc.relation.ispartofpageto3185en_US
dc.relation.ispartofissue6en_US
dc.relation.ispartofjournalEnergy Economicsen_US
dc.relation.ispartofvolume30en_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchTime-Series Analysisen_US
dc.subject.fieldofresearchStochastic Analysis and Modellingen_US
dc.subject.fieldofresearchcode140305en_US
dc.subject.fieldofresearchcode010406en_US
dc.titleStochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity marketen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.date.issued2008
gro.hasfulltextNo Full Text


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