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dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorTrück, Stefanen
dc.date.accessioned2010-04-16-
dc.date.accessioned2010-08-26T11:57:01Z-
dc.date.available2010-08-26T11:57:01Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010,013en
dc.subject.jelG12en
dc.subject.jelC19en
dc.subject.jelC13en
dc.subject.jelQ47en
dc.subject.ddc330en
dc.subject.keywordPower Marketsen
dc.subject.keywordDynamic Semiparametric Factor Modelsen
dc.subject.keywordDay-ahead Electricity Pricesen
dc.subject.stwStromtarifen
dc.subject.stwVolatilitäten
dc.subject.stwWarenbörseen
dc.subject.stwFaktorenanalyseen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwElektrizitäten
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwSchätzungen
dc.subject.stwEuropaen
dc.titleThe dynamics of hourly electricity prices-
dc.type|aWorking Paperen
dc.identifier.ppn62384544Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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