The Forecasting Performance of a Finite Mixture Regime-Switching Model for Daily Electricity Prices

2014 ◽  
Vol 33 (5) ◽  
pp. 364-375 ◽  
Author(s):  
Dipeng Chen ◽  
Derek Bunn
Keyword(s):  
Regime Switching ◽  
Finite Mixture ◽  
Electricity Prices ◽  
Regime Switching Model ◽  
Switching Model ◽  
Forecasting Performance

The impact of market coupling on Hungarian and Romanian electricity markets: Evidence from the regime-switching model

2017 ◽  
Vol 28 (5-6) ◽  
pp. 621-638 ◽  
Author(s):  
Vika Koban
Keyword(s):  
Wind Power ◽  
Regime Switching ◽  
Transition Probabilities ◽  
Power Production ◽  
Time Varying ◽  
Electricity Prices ◽  
Regime Switching Model ◽  
Switching Model ◽  
The Impact ◽  
Market Coupling

This paper investigates the impact of market coupling on (1) electricity prices of Hungarian and Romanian markets and (2) the influence of renewable generation on price regimes by employing the Markov regime-switching model with time-varying transition probabilities. The study provides the evidence of the changes in regimes since market coupling. The results show that the persistence and occurrences of Hungarian price drops are significantly increased. Meanwhile, Romanian prices exhibit less and shorter living price jumps. Considering time-varying transition probabilities as functions of wind power production in Romania, the study also reveals that market coupling changed the influence of wind power production on the regime-switching mechanism of electricity prices.

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