The case of negative day-ahead electricity prices

verfasst von

Enzo Fanone, Andrea Gamba, Marcel Prokopczuk

Abstract

In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.

Externe Organisation(en)

University of Trieste
ICMA Centre
University of Reading
University of Warwick

Typ

Artikel

Journal

Energy Economics

Band

35

Seiten

22-34

Anzahl der Seiten

13

ISSN

0140-9883

Publikationsdatum

01.01.2013

Publikationsstatus

Veröffentlicht

Peer-reviewed

Ja

ASJC Scopus Sachgebiete

Volkswirtschaftslehre und Ökonometrie, Allgemeine Energie

Ziele für nachhaltige Entwicklung

SDG 7 – Erschwingliche und saubere Energie

Elektronische Version(en)

https://doi.org/10.1016/j.eneco.2011.12.006 (Zugang: Unbekannt)