Regime-Switching of Electricity Prices: Evidence from the PJM Market

2012 ◽  
Author(s):  
Yuewen Xiao ◽  
David B. Colwell ◽  
Ramaprasad Bhar
Keyword(s):  
Regime Switching ◽  
Electricity Prices

A Regime Switching Long Memory Model for Electricity Prices

2006 ◽  
Author(s):  
Niels Haldrup ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Memory Model ◽  
Electricity Prices

scholarly journals Heavy-tails and regime-switching in electricity prices

2008 ◽  
Vol 69 (3) ◽  
pp. 457-473 ◽  
Author(s):  
Rafał Weron
Keyword(s):  
Regime Switching ◽  
Heavy Tails ◽  
Electricity Prices

scholarly journals Modeling Electricity Prices with Regime Switching Models

2004 ◽  
pp. 859-867 ◽  
Author(s):  
Michael Bierbrauer ◽  
Stefan Trück ◽  
Rafał Weron
Keyword(s):  
Regime Switching ◽  
Electricity Prices ◽  
Regime Switching Models ◽  
Switching Models

Regime-switching characterization of electricity prices dynamics

2006 ◽  
Vol 371 (2) ◽  
pp. 552-564 ◽  
Author(s):  
Carlo Mari
Keyword(s):  
Regime Switching ◽  
Electricity Prices

scholarly journals A vector autoregressive model for electricity prices subject to long memory and regime switching

2010 ◽  
Vol 32 (5) ◽  
pp. 1044-1058 ◽  
Author(s):  
Niels Haldrup ◽  
Frank S. Nielsen ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Autoregressive Model ◽  
Vector Autoregressive Model ◽  
Electricity Prices ◽  
Vector Autoregressive

A regime switching long memory model for electricity prices

2006 ◽  
Vol 135 (1-2) ◽  
pp. 349-376 ◽  
Author(s):  
Niels Haldrup ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Memory Model ◽  
Electricity Prices

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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