Electricity pool prices: a case study in nonlinear time-series modelling

被引：25
|
作者：
Robinson, TA [1 ]
机构：
[1] Univ Manchester, Inst Sci & Technol, Manchester Sch Management, Manchester M60 1QD, Lancs, England
来源：
APPLIED ECONOMICS | 2000年 / 32卷 / 05期
关键词：
D O I：
10.1080/000368400322435
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers modelling the behaviour of prices in the English and Welsh wholesale electricity Pool since the creation of this spot market in 1990. The process turns out to be nonlinear and a logistic smooth transition autoregressive model is fitted and shown to be superior to a linear alternative. The behaviour of the estimated model is discussed, and it is seen that nonlinearity is needed to describe the institutional characteristics and historical path of pool prices.
引用
收藏
页码：527 / 532
页数：6
相关论文
共 50 条
  • [1] Extrapolative time-series modelling of house prices: a case study from Sydney, Australia
    Herath, Shanaka
    Mangioni, Vince
    Shi, Song
    Ge, Xin Janet
    INTERNATIONAL JOURNAL OF HOUSING MARKETS AND ANALYSIS, 2024, 17 (05) : 1157 - 1175
  • [2] The Time-Series Properties of House Prices: A Case Study of the Southern California Market
    Rangan Gupta
    Stephen M. Miller
    The Journal of Real Estate Finance and Economics, 2012, 44 : 339 - 361
  • [3] The Time-Series Properties of House Prices: A Case Study of the Southern California Market
    Gupta, Rangan
    Miller, Stephen M.
    JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2012, 44 (03): : 339 - 361
  • [4] Application of a data-driven DTSF and benchmark models for the prediction of electricity prices in Brazil: A time-series case
    Gontijo, Tiago Silveira
    de Santis, Rodrigo Barbosa
    Costa, Marcelo Azevedo
    JOURNAL OF RENEWABLE AND SUSTAINABLE ENERGY, 2023, 15 (03)
  • [5] Forecasting electricity spot-prices using linear univariate time-series models
    Cuaresma, JC
    Hlouskova, J
    Kossmeier, S
    Obersteiner, M
    APPLIED ENERGY, 2004, 77 (01) : 87 - 106
  • [6] Forecasting electricity spot prices using time-series models with a double temporal segmentation
    Bessec, Marie
    Fouquau, Julien
    Meritet, Sophie
    APPLIED ECONOMICS, 2016, 48 (05) : 361 - 378
  • [7] Modelling Seasonal Short-Run Effects in Time-Series Tourism Prices
    Gricar, Sergej
    Bojnec, Stefan
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2022, 15 (05)
  • [8] On modelling electricity spot prices: A case study for the Turkish market
    Ozgul, Ali Ulvi
    Kok, Dundar
    EGE ACADEMIC REVIEW, 2022, 22 (01) : 33 - 48
  • [9] Modelling electricity prices: a time change approach
    Li, Lingfei
    Mendoza-Arriaga, Rafael
    Mo, Zhiyu
    Mitchell, Daniel
    QUANTITATIVE FINANCE, 2016, 16 (07) : 1089 - 1109
  • [10] Nonlinear time-series analysis
    Parlitz, U
    NONLINEAR MODELING: ADVANCED BLACK-BOX TECHNIQUES, 1998, : 209 - 239
12345