Hourly Energy Prices in Spain - Evidence of Persistence Across Different Months

Miguel Angel Martin-Valmayor and Luis Alberiko Gil-Alaña ()
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Luis Alberiko Gil-Alaña: Facultad de Derecho, Empresa y Gobierno, Universidad Francisco de Vitoria, Spain

Energy RESEARCH LETTERS, 2024, vol. 4, issue 3, 1-6

Abstract: We examine the hourly structure of energy prices in Spain using 12 one-month-long series (from November 2020 to October 2021) of samples of hourly pricing (from 00:00 to 23:00) for each day of the month and applying a long memory approach with fractional integration analysis. Our results indicate that the series are highly persistent, with shocks having permanent effects with non–mean reversion properties, with no month-specific effects on the data series.

Keywords: Energy consumption; energy prices; long memory; fractional integration; persistence (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnerl:87

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