A semiparametric model for electricity spot prices

References

• Ai , C. 1997 . A semiparametric maximum likelihood estimators . Econometrica , 65 : 933 – 963 .
   Web of Science ®Google Scholar
• Altman , N. S. 1992 . An introduction to kernel and nearest-neighbor nonparametric regression . The American Statistician , 46 ( 3 ) : 175 – 185 .
   Web of Science ®Google Scholar
• Boogert , A. and Dupont , D. 2008 . When supply meets demand: the case of hourly spot electricity prices . IEEE Transaction on Power Systems , 23 ( 2 ) : 389 – 398 .
   Web of Science ®Google Scholar
• Conejo , A. J. , Contreras , J. , Espinola , R. and Plazas , M. 2005 . Forecasting electricity prices for a day-ahead pool-based electric energy market . International Journal of Forecasting , 21 ( 3 ) : 435 – 462 .
   Web of Science ®Google Scholar
• Davidson , R. and MacKinnon , J. G. 1993 . Estimation and Inference in Econometrics , New York , NY : Oxford University Press .
   Google Scholar
• EEG. 2009 . Gesetz zur neuregelung des rechts der erneuerbaren energien im strombereich und zur änderung damit zusammenhängender vorschriften . Technical report, German Bundestag
   Google Scholar
• Eydeland , A. and Wolyniec , K. 2003 . Energy and Power Risk Management , Hoboken , NJ : Wiley .
   Google Scholar
• Geman , H. and Roncoroni , A. 2006 . Understanding the fine structure of electricity prices . Journal of Business , 79 ( 3 ) : 1225 – 1259 .
   Web of Science ®Google Scholar
• Guthrie , G. and Videbeck , S. 2007 . Electricity spot price dynamics: beyond financial models . Energy Policy , 35 : 5614 – 5621 .
   Web of Science ®Google Scholar
• Horowitz , J. L. 1998 . Semiparametric Methods in Econometrics , New York , NY : Springer .
   Google Scholar
• Hyndman , R. J. and Khandakar , Y. 2008 . Automatic time series forecasting: the forecast package for R . Journal of Statistical Software , 27 ( 3 )
   Web of Science ®Google Scholar
• Ichimura , H. 1993 . Semiparametric least squares (sls) and weighted sls estimation of single-index models . Journal of Econometrics , 58 : 71 – 120 .
   Web of Science ®Google Scholar
• Karakatsani , N. V. and Bunn , D. W. 2008 . Forecasting electricity prices: the impact of fundamentals and time-varying coefficients . International Journal of Forecasting , 24 : 764 – 785 .
   Web of Science ®Google Scholar
• Karakatsani , N. V. and Bunn , D. W. 2010 . Fundamental and behavioural drivers of electricity price volatility . Studies in Nonlinear Dynamics Econometrics , 14 ( 4 )
   Web of Science ®Google Scholar
• Klüppelberg , C. , Meyer-Brandis , T. and Schmidt , A. 2010 . Electricity spot price modelling with a view towards extreme spike risk . Quantitative Finance , 10 ( 9 ) : 963 – 974 .
   Web of Science ®Google Scholar
• Mari , C. 2006 . Regime-switching characterization of electricity prices dynamics . Physica A , 371 : 552 – 564 .
   Web of Science ®Google Scholar
• Möst , D. and Keles , D. 2010 . A survey of stochastic modelling approaches for liberalised electricity markets . European Journal of Operational Research , 207 : 543 – 556 .
   Web of Science ®Google Scholar
• North American Electric Reliability Corporation. 2011 . 2010/2011 Post-winter reliability assessment . Technical report, available at http://www.nerc.com/files/2010-2011_PWRA.pdf. (accessed December 16, 2011)
   Google Scholar
• Pilipovíc , D. 1998 . Energy Risk: Valuing and Managing Energy Derivatives , New York , NY : McGraw-Hill .
   Google Scholar
• Powell , J. L. , Stock , J. H. and Stoker , T. M. 1989 . Semiparametric estimation of index coefficients . Econometrica , 51 : 1403 – 1430 .
   Web of Science ®Google Scholar
• Schlüter , S. 2010 . A long-term/short-term model for daily electricity prices with dynamic volatility . Energy Economics , 32 : 1074 – 1081 .
   Web of Science ®Google Scholar
• Seifert , J. and Uhrig-Homburg , M. 2007 . Modelling jumps in electricity prices: theory and empirical evidence . Reviews on Derivatives Research , 10 : 59 – 85 .
   Google Scholar
• Tsybakov , A. B. 2009 . Introduction to Nonparametric Estimation , New York , NY : Springer .
   Google Scholar
• Valenzuela , J. and Mazumdar , M. 2000 . Statistical analysis of electric power production costs . IIE Transactions , 32 ( 12 ) : 1139 – 1148 .
   Web of Science ®Google Scholar
• Vieu , P. and Ferraty , F. 2006 . Nonparametric Functional Data Analysis , New York , NY : Springer .
   Google Scholar
• Vilar , J. , Cao , R. and Aneiros , G. 2012 . Forecasting next-day electricity demand and price using nonparametric functional methods . Electrical Power and Energy Systems , 39 : 48 – 55 .
   Web of Science ®Google Scholar
• Wasserman , L. 2006 . All of Nonparametric Statistics , New York , NY : Springer .
   Google Scholar
• Weisberg , S. and Welsh , A. H. 1994 . Adapting for the missing link . The Annals of Statistics , 22 ( 4 ) : 1674 – 1700 .
   Web of Science ®Google Scholar
• Weron , R. and Misiorek , A. 2008 . Forecasting spot electricity prices: a comparison of parametric and semiparametric time series models . MPRA paper 10428, University Library of Munich
   Google Scholar