A multi-factor approach to modelling the impact of wind energy on electricity spot prices

Paulina A. Rowińska, Almut Veraart and Pierre Gruet

Energy Economics, 2021, vol. 104, issue C

Abstract: We introduce a four-factor arithmetic model for electricity baseload spot prices in Germany and Austria. The model consists of a deterministic seasonality and trend function, both short- and long-term stochastic components, and exogenous factors such as the daily wind energy production forecasts, the residual demand and the wind penetration index. We describe the short-term stochastic factor by a Lévy semi-stationary (LSS) process, and the long-term component is modelled as a Lévy process with increments belonging to the class of generalised hyperbolic distributions.

Keywords: CARMA model; Electricity spot prices; Electricity futures prices; Lévy process; Lévy semistationary process; Wind energy (search for similar items in EconPapers)
JEL-codes: C0 C1 C3 C5 Q4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953

DOI: 10.1016/j.eneco.2021.105640

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