The case of negative day-ahead electricity prices
- authored by
- 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.
- External Organisation(s)
-
University of Trieste
ICMA Centre
University of Reading
University of Warwick
- Type
- Article
- Journal
- Energy Economics
- Volume
- 35
- Pages
- 22-34
- No. of pages
- 13
- ISSN
- 0140-9883
- Publication date
- 01.01.2013
- Publication status
- Published
- Peer reviewed
- Yes
- ASJC Scopus subject areas
- Economics and Econometrics, General Energy
- Sustainable Development Goals
- SDG 7 - Affordable and Clean Energy
- Electronic version(s)
-
https://doi.org/10.1016/j.eneco.2011.12.006 (Access:
Unknown)
