메뉴 건너뛰기




Volumn 34, Issue 6, 2012, Pages 2228-2239

Forecasting Italian electricity zonal prices with exogenous variables

Author keywords

Congestions; Electricity prices; Forecasting; Fractional integration; Market power; Production technologies

Indexed keywords

CONGESTIONS; ELECTRICITY PRICES; FRACTIONAL INTEGRATION; MARKET POWER; PRODUCTION TECHNOLOGY;

EID: 84867714048     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2012.06.024     Document Type: Article
Times cited : (97)

References (54)
  • 1
    • 26844499204 scopus 로고    scopus 로고
    • Modelling structural breaks, long memory and stock market volatility: an overview
    • Banerjee A., Urga G. Modelling structural breaks, long memory and stock market volatility: an overview. J. Econ. 2005, 129:1-34.
    • (2005) J. Econ. , vol.129 , pp. 1-34
    • Banerjee, A.1    Urga, G.2
  • 2
    • 58549118309 scopus 로고    scopus 로고
    • Market structure and the stability and volatility of electricity prices
    • Bask M., Widerberg A. Market structure and the stability and volatility of electricity prices. Energy Econ. 2009, 31:278-288.
    • (2009) Energy Econ. , vol.31 , pp. 278-288
    • Bask, M.1    Widerberg, A.2
  • 3
    • 0036829349 scopus 로고    scopus 로고
    • Market power in deregulated wholesale electricity markets: issues in measurement and the cost of mitigation
    • Blumsack S., Perekhodtsev D., Lave L.B. Market power in deregulated wholesale electricity markets: issues in measurement and the cost of mitigation. Electr. J. 2002, 15:11-24.
    • (2002) Electr. J. , vol.15 , pp. 11-24
    • Blumsack, S.1    Perekhodtsev, D.2    Lave, L.B.3
  • 4
    • 0034414292 scopus 로고    scopus 로고
    • The competitive effects of transmission capacity in a deregulated electricity market
    • Summer
    • Borenstein S., Bushnell J.B., Stoft S. The competitive effects of transmission capacity in a deregulated electricity market. RAND J. Econ. 2000, 31(2):294-325. Summer.
    • (2000) RAND J. Econ. , vol.31 , Issue.2 , pp. 294-325
    • Borenstein, S.1    Bushnell, J.B.2    Stoft, S.3
  • 5
    • 36749021740 scopus 로고    scopus 로고
    • Deregulated wholesale electricity prices in Italy: an empirical analysis
    • Bosco B., Parisio L., Pelagatti M. Deregulated wholesale electricity prices in Italy: an empirical analysis. Int. Adv. Econ. Res. 2007, 13:415-432.
    • (2007) Int. Adv. Econ. Res. , vol.13 , pp. 415-432
    • Bosco, B.1    Parisio, L.2    Pelagatti, M.3
  • 6
    • 52049123294 scopus 로고    scopus 로고
    • Short term forecasting of electricity prices for MISO hubs: evidence from ARIMA-EGARCH models
    • Bowden N., Payne J.E. Short term forecasting of electricity prices for MISO hubs: evidence from ARIMA-EGARCH models. Energy Econ. 2008, 30:3186-3197.
    • (2008) Energy Econ. , vol.30 , pp. 3186-3197
    • Bowden, N.1    Payne, J.E.2
  • 7
    • 21644481093 scopus 로고    scopus 로고
    • Forecasting electricity prices for a day-ahead pool-based electric energy market
    • Conejo A.J., Contreras J., Espinola R., Plazas M.A. Forecasting electricity prices for a day-ahead pool-based electric energy market. Int. J. Forecast. 2005, 21(3):435-462.
    • (2005) Int. J. Forecast. , vol.21 , Issue.3 , pp. 435-462
    • Conejo, A.J.1    Contreras, J.2    Espinola, R.3    Plazas, M.A.4
  • 8
    • 0142104187 scopus 로고    scopus 로고
    • Forecasting electricity spot-prices using linear univariate time-series models
    • Cuaresma J.C., Hlouskova J., Kossmeier S., Obersteiner M. Forecasting electricity spot-prices using linear univariate time-series models. Appl. Energy 2004, 77:87-106.
    • (2004) Appl. Energy , vol.77 , pp. 87-106
    • Cuaresma, J.C.1    Hlouskova, J.2    Kossmeier, S.3    Obersteiner, M.4
  • 9
    • 71549168903 scopus 로고    scopus 로고
    • Complementarity of hydro and wind power: improving the risk profile of energy inflows
    • Denault M., Dupuis D., Couture-Cardinal S. Complementarity of hydro and wind power: improving the risk profile of energy inflows. Energy Policy 2009, 37:5376-5384.
    • (2009) Energy Policy , vol.37 , pp. 5376-5384
    • Denault, M.1    Dupuis, D.2    Couture-Cardinal, S.3
  • 11
    • 55349118455 scopus 로고    scopus 로고
    • An hourly periodic state space model for modelling French national electricity load
    • Dordonnat V., Koopman S.J., Ooms M., Dessertaine A., Collet J. An hourly periodic state space model for modelling French national electricity load. Int. J. Forecast. 2008, 24:566-587.
    • (2008) Int. J. Forecast. , vol.24 , pp. 566-587
    • Dordonnat, V.1    Koopman, S.J.2    Ooms, M.3    Dessertaine, A.4    Collet, J.5
  • 13
    • 79952337698 scopus 로고    scopus 로고
    • The European Wind Energy Association, document available at, EWEA
    • EWEA European Wind Map 2008, The European Wind Energy Association, document available at http://www.ewea.org/fileadmin/ewea_documents/.
    • (2008) European Wind Map
  • 14
    • 67650272433 scopus 로고    scopus 로고
    • Market power in the Nordic electricity wholesale market:a survey of the empirical evidence
    • Fridolfsson S., Tangeras T. Market power in the Nordic electricity wholesale market:a survey of the empirical evidence. Energy Policy 2009, 37:3681-3692.
    • (2009) Energy Policy , vol.37 , pp. 3681-3692
    • Fridolfsson, S.1    Tangeras, T.2
  • 15
    • 56949098665 scopus 로고    scopus 로고
    • Congestion management rules and trading strategies in the Spanish electricity market
    • Furió D., Lucia J.J. Congestion management rules and trading strategies in the Spanish electricity market. Energy Econ. 2009, 31:48-60.
    • (2009) Energy Econ. , vol.31 , pp. 48-60
    • Furió, D.1    Lucia, J.J.2
  • 16
    • 78049427747 scopus 로고    scopus 로고
    • Volume and volatility effects in European electricity markets
    • Gianfreda A. Volume and volatility effects in European electricity markets. Econ. Notes 2010, 39:47-63.
    • (2010) Econ. Notes , vol.39 , pp. 47-63
    • Gianfreda, A.1
  • 17
    • 74149091912 scopus 로고    scopus 로고
    • Integration and shock transmissions across European electricity forward markets
    • Gianfreda A., Bunn D. Integration and shock transmissions across European electricity forward markets. Energy Econ. 2010, 32(2):278-291.
    • (2010) Energy Econ. , vol.32 , Issue.2 , pp. 278-291
    • Gianfreda, A.1    Bunn, D.2
  • 19
    • 77956777752 scopus 로고    scopus 로고
    • Price transmission in the UK electricity market: was NETA beneficial?
    • Giulietti M., Grossi L., Waterson M. Price transmission in the UK electricity market: was NETA beneficial?. Energy Econ. 2010, 32:1165-1174.
    • (2010) Energy Econ. , vol.32 , pp. 1165-1174
    • Giulietti, M.1    Grossi, L.2    Waterson, M.3
  • 21
    • 84867739236 scopus 로고    scopus 로고
    • available at, GME
    • GME Technical report 2008 available at. http://www.mercatoelettrico.org.
    • Technical report 2008
  • 23
    • 77957814058 scopus 로고    scopus 로고
    • Understanding electricity price volatility within and across markets
    • available at
    • Goto M., Karolyi G.A. Understanding electricity price volatility within and across markets. Working Paper 2002, available at http://papers.ssrn.comsol3/papers.cfm?abstract_id=576982.
    • (2002) Working Paper
    • Goto, M.1    Karolyi, G.A.2
  • 24
    • 0027039062 scopus 로고
    • Competition in the British Electricity Spot Market
    • October (University of Chicago)
    • Green R.J., Newbery D.M. Competition in the British Electricity Spot Market. J. Polit. Econ. 1992, 100(5):929-953. October (University of Chicago).
    • (1992) J. Polit. Econ. , vol.100 , Issue.5 , pp. 929-953
    • Green, R.J.1    Newbery, D.M.2
  • 25
    • 33645747791 scopus 로고    scopus 로고
    • Electricity price volatility and the marginal cost of congestion: an empirical study of peak hours on the NYISO market, 2001-2004
    • Hadsell L., Shawky H.A. Electricity price volatility and the marginal cost of congestion: an empirical study of peak hours on the NYISO market, 2001-2004. Energy J. 2006, 27(2):157-179.
    • (2006) Energy J. , vol.27 , Issue.2 , pp. 157-179
    • Hadsell, L.1    Shawky, H.A.2
  • 26
    • 33748193812 scopus 로고    scopus 로고
    • A regime switching long memory model for electricity prices
    • Haldrup N., Nielsen M.O. A regime switching long memory model for electricity prices. J. Econ. 2006, 135(1-2):349-376.
    • (2006) J. Econ. , vol.135 , Issue.1-2 , pp. 349-376
    • Haldrup, N.1    Nielsen, M.O.2
  • 27
    • 77956774011 scopus 로고    scopus 로고
    • A vector autoregressive model for electricity prices subject to long memory and regime switching
    • Haldrup N., Nielsen F.S., Nielsen M.O. A vector autoregressive model for electricity prices subject to long memory and regime switching. Energy Econ. 2010, 32(5):1044-1058.
    • (2010) Energy Econ. , vol.32 , Issue.5 , pp. 1044-1058
    • Haldrup, N.1    Nielsen, F.S.2    Nielsen, M.O.3
  • 28
    • 65749111218 scopus 로고    scopus 로고
    • On the evaluation of market power and market dominance - the Nordic electricity market
    • Hellmer S., Warell L. On the evaluation of market power and market dominance - the Nordic electricity market. Energy Policy 2009, 37:3235-3241.
    • (2009) Energy Policy , vol.37 , pp. 3235-3241
    • Hellmer, S.1    Warell, L.2
  • 29
    • 30944431889 scopus 로고    scopus 로고
    • Market power monitoring and mitigation in the US wholesale power markets
    • Helman U. Market power monitoring and mitigation in the US wholesale power markets. Energy 2006, 31:877-904.
    • (2006) Energy , vol.31 , pp. 877-904
    • Helman, U.1
  • 30
    • 0141560287 scopus 로고    scopus 로고
    • Regime jumps in electricity prices
    • Huisman R., Mahieu R. Regime jumps in electricity prices. Energy Econ. 2003, 25(5):425-434.
    • (2003) Energy Econ. , vol.25 , Issue.5 , pp. 425-434
    • Huisman, R.1    Mahieu, R.2
  • 31
    • 67650316677 scopus 로고    scopus 로고
    • report available at, IEA PVPS, International Energy Agency - Photovoltaic Power Systems Programme
    • IEA PVPS, International Energy Agency - Photovoltaic Power Systems Programme Trends in Photovoltaic Applications 2008, report available at http://www.iea-pvps.org/products/download/rep1/_17.pdf.
    • (2008) Trends in Photovoltaic Applications
  • 33
    • 67650759743 scopus 로고    scopus 로고
    • Frequency domain methods applied to forecasting electricity markets
    • Trapero Juan R., Pedregal D.J. Frequency domain methods applied to forecasting electricity markets. Energy Econ. 2009, 31:727-735.
    • (2009) Energy Econ. , vol.31 , pp. 727-735
    • Trapero, J.R.1    Pedregal, D.J.2
  • 34
    • 55349123929 scopus 로고    scopus 로고
    • Forecasting electricity prices: the impact of fundamentals and time-varying coefficients
    • Karakatsani N., Bunn D.W. Forecasting electricity prices: the impact of fundamentals and time-varying coefficients. Int. J. Forecast. 2008, 24(4):764-785.
    • (2008) Int. J. Forecast. , vol.24 , Issue.4 , pp. 764-785
    • Karakatsani, N.1    Bunn, D.W.2
  • 35
    • 23944453109 scopus 로고    scopus 로고
    • An empirical examination of restructured electricity prices
    • Knittel C.R., Roberts M. An empirical examination of restructured electricity prices. Energy Econ. 2005, 27(5):791-817.
    • (2005) Energy Econ. , vol.27 , Issue.5 , pp. 791-817
    • Knittel, C.R.1    Roberts, M.2
  • 36
    • 33947264904 scopus 로고    scopus 로고
    • Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices
    • Koopman S.J., Oooms M., Carnero M.A. Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices. J. Am. Stat. Assoc. 2007, 102(477):16-27.
    • (2007) J. Am. Stat. Assoc. , vol.102 , Issue.477 , pp. 16-27
    • Koopman, S.J.1    Oooms, M.2    Carnero, M.A.3
  • 37
    • 40349108835 scopus 로고    scopus 로고
    • Market power in the European electricity market - the impacts of dry weather and additional transmission capacity
    • Lisea W., Hobbsb B.F., Hers S. Market power in the European electricity market - the impacts of dry weather and additional transmission capacity. Energy Policy 2008, 36:1331-1343.
    • (2008) Energy Policy , vol.36 , pp. 1331-1343
    • Lisea, W.1    Hobbsb, B.F.2    Hers, S.3
  • 39
    • 77649192199 scopus 로고    scopus 로고
    • Gas-on-gas competition in Shanghai
    • Manuhutu C., Owen A.D. Gas-on-gas competition in Shanghai. Energy Policy 2010, 38(5):2101-2106.
    • (2010) Energy Policy , vol.38 , Issue.5 , pp. 2101-2106
    • Manuhutu, C.1    Owen, A.D.2
  • 40
    • 39749126871 scopus 로고    scopus 로고
    • Asymmetric price responses, market integration and market power: a study of the U.S. natural gas market
    • Murry D., Zhu Z. Asymmetric price responses, market integration and market power: a study of the U.S. natural gas market. Energy Econ. 2008, 30:748-765.
    • (2008) Energy Econ. , vol.30 , pp. 748-765
    • Murry, D.1    Zhu, Z.2
  • 41
    • 0032280271 scopus 로고    scopus 로고
    • Competition, contracts, and entry in the electricity spot market
    • Winter (The RAND Corporation)
    • Newbery D.M. Competition, contracts, and entry in the electricity spot market. RAND J. Econ. 1998, 29(4):726-749. Winter (The RAND Corporation).
    • (1998) RAND J. Econ. , vol.29 , Issue.4 , pp. 726-749
    • Newbery, D.M.1
  • 44
    • 0037843192 scopus 로고    scopus 로고
    • Effective market monitoring in deregulated electricity markets
    • Rahimi A.F., Sheffrin A.Y. Effective market monitoring in deregulated electricity markets. IEEE Trans. Power Syst. 2003, 18(2):486-493.
    • (2003) IEEE Trans. Power Syst. , vol.18 , Issue.2 , pp. 486-493
    • Rahimi, A.F.1    Sheffrin, A.Y.2
  • 45
    • 84867737719 scopus 로고    scopus 로고
    • The Joint Dynamics of Electricity Spot and Forward Markets: Implications of Formulating Dynamic Hedging Strategies
    • Skantze P., Illic M. The Joint Dynamics of Electricity Spot and Forward Markets: Implications of Formulating Dynamic Hedging Strategies. Energy Laboratory Report No. MIT-EL 00-005 2000.
    • (2000) Energy Laboratory Report No. MIT-EL 00-005
    • Skantze, P.1    Illic, M.2
  • 46
    • 36348992080 scopus 로고    scopus 로고
    • Short-term load forecasting methods: an evaluation based on European data
    • Taylor J.W., McSharry P.E. Short-term load forecasting methods: an evaluation based on European data. IEEE Trans. Power Syst. 2007, 22:2213-2219.
    • (2007) IEEE Trans. Power Syst. , vol.22 , pp. 2213-2219
    • Taylor, J.W.1    McSharry, P.E.2
  • 48
    • 55349112144 scopus 로고    scopus 로고
    • Forecasting spot electricity prices: a comparison of parametric and semiparametric time series models
    • Weron R., Misiorek A. Forecasting spot electricity prices: a comparison of parametric and semiparametric time series models. Int. J. Forecast. 2008, 24:744-763.
    • (2008) Int. J. Forecast. , vol.24 , pp. 744-763
    • Weron, R.1    Misiorek, A.2
  • 49
    • 1442311426 scopus 로고    scopus 로고
    • Modeling electricity prices: jump diffusion and regime switching
    • Weron R., Bierbrauerb M., Truck S. Modeling electricity prices: jump diffusion and regime switching. Physica A 2004, 336:39-48.
    • (2004) Physica A , vol.336 , pp. 39-48
    • Weron, R.1    Bierbrauerb, M.2    Truck, S.3
  • 50
    • 2942703099 scopus 로고    scopus 로고
    • An empirical analysis of the impact of hedge contracts on bidding, behavior in a competitive electricity market
    • Summer
    • Wolak F.A. An empirical analysis of the impact of hedge contracts on bidding, behavior in a competitive electricity market. Int. Econ. J. 2000, 14(2):1-40. Summer.
    • (2000) Int. Econ. J. , vol.14 , Issue.2 , pp. 1-40
    • Wolak, F.A.1
  • 51
    • 0003702058 scopus 로고    scopus 로고
    • The impact of market rules and market structure on the price determination process in the England and Wales electricity market
    • Available at
    • Wolak F.A., Patrick R.H. The impact of market rules and market structure on the price determination process in the England and Wales electricity market. Power Working Paper PWP-047, University of California Energy Institute, (April) 1997, Available at http://www.ucei.org/PDF/pwp047.pdf.
    • (1997) Power Working Paper PWP-047, University of California Energy Institute, (April)
    • Wolak, F.A.1    Patrick, R.H.2
  • 52
    • 0032286785 scopus 로고    scopus 로고
    • Strategic bidding in a multiunit auction: an empirical analysis of bids to supply electricity in England and Wales
    • Winter
    • Wolfram C.D. Strategic bidding in a multiunit auction: an empirical analysis of bids to supply electricity in England and Wales. RAND J. Econ. 1998, 29(4):703-725. Winter.
    • (1998) RAND J. Econ. , vol.29 , Issue.4 , pp. 703-725
    • Wolfram, C.D.1
  • 53
    • 0001104022 scopus 로고    scopus 로고
    • Measuring duopoly power in the British Electricity Spot Market
    • September
    • Wolfram C.D. Measuring duopoly power in the British Electricity Spot Market. Am. Econ. Rev. 1999, 89(4):805-826. September.
    • (1999) Am. Econ. Rev. , vol.89 , Issue.4 , pp. 805-826
    • Wolfram, C.D.1
  • 54
    • 77956403647 scopus 로고    scopus 로고
    • Market concentration and market power among electricity generators in Texas
    • November
    • Zarnikau J., Lam A. Market concentration and market power among electricity generators in Texas. Electr. J. 1998, 60-64. November.
    • (1998) Electr. J. , pp. 60-64
    • Zarnikau, J.1    Lam, A.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.