Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39311
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dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorTrück, Stefanen_US
dc.date.accessioned2010-04-16en_US
dc.date.accessioned2010-08-26T11:57:01Z-
dc.date.available2010-08-26T11:57:01Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39311-
dc.description.abstractThe dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in order to verify that the schedule is feasible and lies within transmission constraints. Instead agents have to submit their bids and offers for delivery of electricity for all hours of the next day before a specified market closing time. We suggest the use of dynamic semiparametric factor models (DSFM) for the behavior of hourly electricity prices. We find that a model with three factors is able to explain already a high proportion of the variation in hourly electricity prices. Our analysis also provides insights into the characteristics of the market, in particular with respect to the driving factors of hourly prices and their dynamic behavior through time.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2010,013en_US
dc.subject.jelG12en_US
dc.subject.jelC19en_US
dc.subject.jelC13en_US
dc.subject.jelQ47en_US
dc.subject.ddc330en_US
dc.subject.keywordPower Marketsen_US
dc.subject.keywordDynamic Semiparametric Factor Modelsen_US
dc.subject.keywordDay-ahead Electricity Pricesen_US
dc.subject.stwStromtarifen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwWarenbörseen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwElektrizitäten_US
dc.subject.stwMikrostrukturanalyseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEuropaen_US
dc.titleThe dynamics of hourly electricity pricesen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn62384544Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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