Electricity spot prices in the emerging power markets are volatile, a consequence of the
unique physical attributes of electricity production and distribution. Uncontrolled exposure to …

This paper presents a mean‐reverting jump diffusion model for the electricity spot price and
derives the corresponding forward price in closed‐form. Based on historical spot data and …

The markets for electricity, gas and temperature have distinctive features, which provide the
focus for countless studies. For instance, electricity and gas prices may soar several …

This paper analyzes the special features of electricity spot prices derived from the physics of
this commodity and from the economics of supply and demand in a market pool. Besides …

This article analyses the evolution of electricity prices in deregulated markets. We present a
general class of models that simultaneously takes into account several factors: seasonality …

This paper investigates the effects of intermittent solar and wind power generation on
electricity price formation in Germany. We use daily data from 2010 to 2015, a period with …

An important issue in fitting stochastic models to electricity spot prices is the estimation of a
component to deal with trends and seasonality in the data. Unfortunately, estimation routines …

Accurately modeling and predicting the mean and volatility of electricity prices can be of
great importance to value electricity, bid or hedge against the volatility of electricity prices …

In competitive electricity markets, in addition to the uncertainty of exogenous variables such
as energy demand, water inflows, and availability of generation units and fuel costs …

In this paper we assess the short-term forecasting power of different time series models in
the electricity spot market. In particular we calibrate AR/ARX (''X''stands for exogenous …