Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters

被引：135

作者：

Mount, TD ^{[1
]}

Ning, YM ^{[1
]}

Cai, XB ^{[1
]}

机构：

[1] Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA

来源：

ENERGY ECONOMICS | 2006年 / 28卷 / 01期

关键词：

price spikes; regime-switching; time-varying parameters; probability of switching; reserve margin;

D O I：

10.1016/j.eneco.2005.09.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper shows that a stochastic regime-switching model can represent the volatile behavior of wholesale electricity prices associated with price spikes effectively. The structure of the model is very flexible because the mean prices in the two regimes and the two transition probabilities are functions of the load and/or the implicit reserve margin. Using price data from the single settlement market in PJM (May 1999 to May 2000), the results show that the estimated switching probability from the low to the high regime predicts price spikes well if the reserve margin is measured accurately. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：62 / 80

页数：19

共 23 条

[11]

Gubina Andrej, 2000, BID BASED STOCHASTIC

[12]

Hamilton J. D., 1994, TIME SERIES ANAL

[13] A NEW APPROACH TO THE ECONOMIC-ANALYSIS OF NONSTATIONARY TIME-SERIES AND THE BUSINESS-CYCLE [J].

HAMILTON, JD .

ECONOMETRICA, 1989, 57 (02) :357-384

[14] Regime jumps in electricity prices [J].

Huisman, R ;

Mahieu, R .

ENERGY ECONOMICS, 2003, 25 (05) :425-434

[15]

Kamat R., 2001, EXOTIC OPTIONS INTER

[16]

Kim C.J., 1993, J ECONOMETRICS, V60, P1

[17]

Kim C. J., 1999, State-space Models with Regime Switching: Classical and Gibbssampling Approaches with Applications

[18]

MANSUR ET, 2001, 083 UC BERK

[19]

MOUNT TD, 2000, 19 ANN C REG COMP SE

[20]

Ning Y., 2000, MODELING EFFECTS SEA

← 1 2 3 →