Details
| Original language | English |
|---|---|
| Pages (from-to) | 22-34 |
| Number of pages | 13 |
| Journal | Energy Economics |
| Volume | 35 |
| Publication status | Published - 1 Jan 2013 |
| Externally published | Yes |
Abstract
In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.
Keywords
- Electricity, Fractional integration, Lévy processes, Negative prices, Price spikes
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Energy(all)
Sustainable Development Goals
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In: Energy Economics, Vol. 35, 01.01.2013, p. 22-34.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - The case of negative day-ahead electricity prices
AU - Fanone, Enzo
AU - Gamba, Andrea
AU - Prokopczuk, Marcel
PY - 2013/1/1
Y1 - 2013/1/1
N2 - In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.
AB - In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.
KW - Electricity
KW - Fractional integration
KW - Lévy processes
KW - Negative prices
KW - Price spikes
UR - http://www.scopus.com/inward/record.url?scp=84872372662&partnerID=8YFLogxK
U2 - 10.1016/j.eneco.2011.12.006
DO - 10.1016/j.eneco.2011.12.006
M3 - Article
AN - SCOPUS:84872372662
VL - 35
SP - 22
EP - 34
JO - Energy Economics
JF - Energy Economics
SN - 0140-9883
ER -