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.