کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5064582 1476716 2015 41 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A spot-forward model for electricity prices with regime shifts
ترجمه فارسی عنوان
یک مدل پیش فرض برای قیمت برق با تغییر رژیم
موضوعات مرتبط
مهندسی و علوم پایه مهندسی انرژی انرژی (عمومی)
چکیده انگلیسی
We propose a novel regime-switching approach for electricity prices in which simulated and forecasted prices are consistent with currently observed forward prices. Additionally, the model is able to reproduce spikes and negative prices. We distinguish between a base regime as well as upper and lower spike regimes. We derive hourly price forward curves for EEX Phelix, and together with historical hourly spot prices, historical hourly price forward curves are the basis for model calibration. The model can be used for simulation and forecasting of electricity spot prices over short- and medium-term horizons. Tests imply that it shows a better performance than classical time series approaches.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 47, January 2015, Pages 142-153
نویسندگان
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