Verfügbarkeit: Economics of power markets | Technische Universität München

Economics of power markets: essays on electricity price volatility

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Bibliographische Detailangaben
Beteilige Person:	Mayer, Klaus (VerfasserIn)
Format:	Hochschulschrift/Dissertation Buch
Sprache:	Englisch
Veröffentlicht:	München Klaus Mayer 2015
Schlagwörter:	Hochschulschrift
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028428735&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Umfang:	XII, 187 Seiten Illustrationsangaben
ISBN:	9783000508240

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Datensatz im Suchindex

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adam_text	CO NTENTS SUMMARY II CONTENT IV NOMENCLATURE VII LIST OF FIGURES X LIST OF TABLES XI 1 INTRODUCTION 1 1.1 MOTIVATION ....................................................................................................... 1 1.2 RESEARCH QU ESTIO N S........................................................................................... 10 2 ESSAY 1: MODELING ELECTRICITY SPOT PRICES * COMBINING MEAN REVERSION, SPIKES, AND STOCHASTIC VOLATILITY 17 2.1 INTRODUCTION.......................................................................................................... 18 2.2 ELECTRICITY M ARK ETS.............................................................................................. 20 2.2.1 ELECTRICITY M ARKETS............................................................................... 21 2.2.2 D A TA ....................................................................................................... 21 2.2.3 PRICE B E H A V IO R..................................................................................... 22 2.3 THEORETICAL FRAMEWORK ....................................................................................... 27 2.4 C A LIB RA TIO N .......................................................................................................... 31 2.4.1 NEGATIVE P RIC E S ..................................................................................... 31 2.4.2 SEASONALITY F U N CTIO N ............................................................................ 32 2. 4.3 STOCHASTIC C OM PONENT........................................................................... 32 2.4.4 MEAN REVERSION R A T E S ........................................................................... 34 2.4.5 SEPARATION OF STOCHASTIC P RO CESSES...................................................... 35 2.4.6 D ISTRIBUTION............................................................................................. 37 2.5 TESTING THE M O D E L ............................................................................................. 40 2.6 CONCLUSION ....................................................................................................... 43 3 ESSAY 2: MARKET EFFICIENCY, PRODUCTION FLEXIBILITY, AND ELECTRICITY PRICE VOLATILITY 47 3.1 INTRODUCTION......................................................................................................... 48 3.2 LITERATURE OVERVIEW............................................................................................. 51 3.3 DATA AND METHODOLOGY....................................................................................... 54 3.3.1 SAMPLE CO N STRU CTIO N .............................................................................. 54 3.3.2 PRODUCTION FLEXIBILITY.............................................................................. 55 3.3.3 EVENT RE TU RN S .......................................................................................... 60 3.3.4 FINANCIAL V A RIA B LE S................................................................................. 61 3.3.5 ELECTRICITY P R IC E S .................................................................................... 62 3.3.6 M ETHODOLOGY.......................................................................................... 64 3.4 R ESULTS.................................................................................................................. 65 3.4.1 DESCRIPTIVE S TA TIS TIC S .............................................................................. 65 3.4.2 MAIN RESULTS............................................................................................. 71 3.4.3 ROBUSTNESS T E S T S .................................................................................... 77 3.5 CONCLUSION ......................................................................................................... 78 4 ESSAY 3: ELECTRICITY MARKETS AROUND THE WORLD 86 4.1 INTRODUCTION......................................................................................................... 87 4.2 , POWER M A R K E TS ................................................................................................... 90 4.2.1 DEREGULATION AND DEVELOPMENT OF POWER M A R K E TS .............................. 90 4.2.2 DESCRIPTION OF M ARK E TS........................................................................... 93 4.3 DATA AND METHODOLOGY....................................................................................... 95 4.3.1 D A TA ......................................................................................................... 95 4.3.2 M ETHODOLOGY ......................................................................................... 99 4.4 EMPIRICAL R E S U LTS .............................................................................................. 103 4.4.1 DESCRIPTIVE S TA TIS TIC S ............................................................................... 103 4.4.2 CLASSIFICATION AND TE S TS ............................................................................ 122 4.5 CONCLUSION ....................................................................................................... 130 5 ESSAY 4: THE MARKET IMPACT OF WIND AND SOLAR POWER CAPACITIES - INTERNATIONAL EVIDENCE 138 5.1 INTRODUCTION...........................................................................................................139 5.2 DATA AND METHODOLOGY........................................................................................ 144 5.2.1 D A TA ...........................................................................................................144 5.2.2 M ETHODOLOGY ........................................................................................... 147 5.3 EMPIRICAL R E S U LTS ..................................................................................................147 5.3.1 DESCRIPTIVE S TA TIS TIC S ............................................................................... 147 5.3.2 REGRESSION RESULTS .................................................................................. 152 5.4 ROBUSTNESS T E S T S ................................................................................................. 158 5.5 CONCLUSION ...........................................................................................................164 6 CONCLUSION 170 BIBLIOGRAPHY 177
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title	Economics of power markets essays on electricity price volatility
title_auth	Economics of power markets essays on electricity price volatility
title_exact_search	Economics of power markets essays on electricity price volatility
title_full	Economics of power markets essays on electricity price volatility Klaus Mayer
title_fullStr	Economics of power markets essays on electricity price volatility Klaus Mayer
title_full_unstemmed	Economics of power markets essays on electricity price volatility Klaus Mayer
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title_sub	essays on electricity price volatility
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