Price Dynamics in Electricity Markets

Florentina Paraschiv

No 1314, Working Papers on Finance from University of St. Gallen, School of Finance

Abstract: With the liberalization of global power markets, modeling of exchange traded electricity contracts has attracted significantly the attention of both academic and industry. In this paper we offer an overview of the most common deseasonalization techniques and modeling approaches in the literature. We extract the deterministic component of EEX Phelix hourly electricity prices and we discuss different financial and time series models for their stochastic component. Additionally, we apply Extreme Value Theory (EVT) to investigate the tails of the price changes distribution. Generally our results suggest EVT to be of interest to both risk managers and portfolio managers in the highly volatile electricity markets.

Pages: 25 pages
Date: 2013-07
New Economics Papers: this item is included in nep-ene, nep-reg and nep-rmg
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:usg:sfwpfi:2013:14

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