Long-term memory in electricity prices: Czech market evidence

Ladislav Krištoufek () and Petra Lunackova

Papers from arXiv.org

Abstract: We analyze long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. As the dynamics of the electricity prices is dominated by cycles -- mainly intraday and daily -- we opt for the detrended fluctuation analysis, which is well suited for such specific series. We find that the electricity prices are non-stationary but strongly mean-reverting which distinguishes them from other financial assets which are usually characterized as unit root series. Such description is attributed to specific features of electricity prices, mainly to non-storability. Additionally, we argue that the rapid mean-reversion is due to the principles of electricity spot prices. These properties are shown to be stable across all studied years.

Date: 2013-09
New Economics Papers: this item is included in nep-ene, nep-reg and nep-tra
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Citations: View citations in EconPapers (6)

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Journal Article: Long-term Memory in Electricity Prices: Czech Market Evidence (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.0582

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