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- W3182801396 abstract "We apply linear and nonlinear panel models to investigate fundamentals pricing relationships in the Greek day-ahead power market. We link the persistence behaviour and other dynamic properties of power price trajectories to an extended array of fundamental variables reflecting market conditions and the price course of energy commodities in global markets. Assuming that the dynamics of the intraday power pricing curve is adequately specified within a panel modelling framework with long memory and common unobserved stochastic effects, we are able to provide consistent estimates of price responsiveness to the main fundamental drivers and thus avoid biases induced by other popular modelling approaches. We also device a panel variant of the standard smooth-transition regression model to investigate regime switching effects in the price responsiveness mechanism. Empirical results support that Greek day-ahead prices are in a fractional cointegrating relationship with hour-specific covariates (load, marginal generation capacity) as well as price determinants affecting the entire cross-section of hourly contracts (Brent price, emission allowance rights cost). The strength and type of cointegration often changes in a nonlinear way with the hour of power delivery or in response to market conditions. Our study has important implications for price risk management. The results of the nonlinear model demonstrate the ineffectiveness of linear models (either univariate or in a panel context) to accurately estimate the levels of price risk and associate it with changes in market conditions." @default.
- W3182801396 created "2021-07-19" @default.
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- W3182801396 date "2019-01-01" @default.
- W3182801396 modified "2023-09-25" @default.
- W3182801396 title "Fundamental Pricing Laws and Long Memory Effects in the Day-Ahead Power Market" @default.
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- W3182801396 doi "https://doi.org/10.2139/ssrn.3449206" @default.
- W3182801396 hasPublicationYear "2019" @default.
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