Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets

Florian Ziel, Rick Steinert and Sven Husmann

Energy Economics, 2015, vol. 51, issue C, 430-444

Abstract: In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market we employ econometric models to incorporate the EXAA price and compare them with their counterparts without the price of the Austrian exchange. By employing a forecasting study, we find that electricity price models can be improved when EXAA prices are considered.

Keywords: Electricity price; EXAA AR-Model; Forecasting; European electricity markets (search for similar items in EconPapers)
JEL-codes: C51 C53 C58 G15 G17 Q41 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:51:y:2015:i:c:p:430-444

DOI: 10.1016/j.eneco.2015.08.005

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