Nonlinear Analysis of Electricity Prices
Guest Editors' Note
This special issue collects articles that develop novel econometric and statistical methodologies to analyze, model and predict various forms of electricity prices. The methods include, for example, regime-switching models (Haldrup and Nielsen, Misiorek et al., de Jong), wavelets (Stevenson et al.) and spectral analysis (Hinich and Serletis). The products cover forward contracts (Borovkova and Geman, Diko et al.), spark spread options (Benth), weather derivatives (Penzer and Jewson) and natural gas (Serletis and Shahmoradi). It is our hope that this issue will contribute to a better understanding of the statistical behavior of energy prices, both from a theoretical and applied point of view.
Dick van Dijk and Christian M. Hafner
Rotterdam and Louvain-la-Neuve, September 2006
Articles
Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices
Niels Haldrup and Morten Ø. Nielsen
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
Adam Misiorek, Stefan Trueck, and Rafal Weron
The Nature of Power Spikes: A Regime-Switch Approach
Cyriel De Jong
Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market
Maxwell J. Stevenson, Luiz Felipe Moreira do Amaral, and Maurice Peat
Randomly Modulated Periodic Signals in Alberta's Electricity Market
Melvin J. Hinich and Apostolos Serletis
Analysis and Modelling of Electricity Futures Prices
Svetlana Borovkova and Helyette Geman
Risk Premia in Electricity Forward Prices
Pavel Diko, Steve Lawford, and Valerie Limpens
Analytical Approximation for the Price Dynamics of Spark Spread Options
Fred E. Benth and Jurate Saltyte-Benth
Estimating Trends in Weather Series: Consequences for Pricing Derivatives
Stephen Jewson and Jeremy Penzer
Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets
Apostolos Serletis and Akbar Shahmoradi