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  • Modelling spot prices in deregulated wholesale electricity markets: a selected empirical review

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    Author(s)
    Higgs, Helen
    Worthington, Andrew
    Griffith University Author(s)
    Worthington, Andrew C.
    Higgs, Helen
    Year published
    2010
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    Abstract
    The restructuring and deregulation of global electricity markets has brought about fundamental changes in the behaviour of wholesale spot prices. In turn, this has fostered a small but increasing volume of literature aimed at modeling and providing best-practice forecasts of electricity prices and price volatility, often employing very high-frequency data. The purpose of this paper is to review the various time-series regression modeling approaches as they apply to competitive electricity markets throughout the world. Apart from discussing the strengths and weaknesses of the different approaches and their key findings, the ...
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    The restructuring and deregulation of global electricity markets has brought about fundamental changes in the behaviour of wholesale spot prices. In turn, this has fostered a small but increasing volume of literature aimed at modeling and providing best-practice forecasts of electricity prices and price volatility, often employing very high-frequency data. The purpose of this paper is to review the various time-series regression modeling approaches as they apply to competitive electricity markets throughout the world. Apart from discussing the strengths and weaknesses of the different approaches and their key findings, the paper also examines the steps faced by researchers as they move through the modeling process. Accordingly, the article provides guidance to those conducting empirical research on electricity prices and serves as an aid for policymakers, managers and practitioners interpreting electricity pricing research outcomes.
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    Journal Title
    Energy Studies Review
    Volume
    17
    Issue
    1
    Publisher URI
    https://www.mcmaster.ca/
    Copyright Statement
    © 2010 McMaster University, Institute for Energy Studies. The attached file is reproduced here in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Environment and Resource Economics
    Mechanical Engineering
    Publication URI
    http://hdl.handle.net/10072/38286
    Collection
    • Journal articles

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