Modeling and forecasting realized volatility in German–Austrian continuous intraday electricity prices
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DOI: 10.1002/for.2463
Abstract: This paper uses high-frequency continuous intraday electricity price data from the EPEX market to estimate and forecast realized volatility. Three different jump tests are used to break down the variation into jump and continuous components… read more here.
Keywords: realized volatility; volatility; intraday electricity; continuous intraday ... See more keywords
Asymmetric information in the German intraday electricity market
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DOI: 10.1016/j.eneco.2020.104785
Abstract: This paper investigates how private and public information about unplanned power plant outages impact intraday electricity prices in Germany. It uses data from the EPEX day-ahead and continuous intraday markets as well as market messages… read more here.
Keywords: power plant; information; intraday electricity; market ... See more keywords
Exogenous factors for order arrivals on the intraday electricity market
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DOI: 10.1016/j.eneco.2021.105186
Abstract: Abstract We examine if the trading activity on the German intraday electricity market is linked to fundamental as well as market-induced factors. Thus, we propose a novel point process model in which the intensity process… read more here.
Keywords: order arrivals; intraday electricity; electricity market; exogenous factors ... See more keywords
Forecasting the Price Distribution of Continuous Intraday Electricity Trading
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DOI: 10.3390/en12224262
Abstract: The forecasting literature on intraday electricity markets is scarce and restricted to the analysis of volume-weighted average prices. These only admit a highly aggregated representation of the market. Instead, we propose to forecast the entire… read more here.
Keywords: forecasting price; intraday electricity; price distribution; distribution ... See more keywords
Intraday Electricity Pricing of Night Contracts
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DOI: 10.3390/en13174501
Abstract: This paper investigates the intraday electricity pricing of 15-min. contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation… read more here.
Keywords: pricing night; electricity pricing; intraday electricity; night ... See more keywords