On modelling electricity spot prices: A case study for the Turkish market

Ali Ulvi ÖZGÜL; Dündar KÖK

doi:https://doi.org/10.21121/eab.1060605

Makale detayları

On modelling electricity spot prices: A case study for the Turkish market

Yazarlar:

Ali Ulvi ÖZGÜL | Dündar KÖK

Yayıncı:

Ege University

Ana Başlıklar:

Yönetim

Dergi:

Ege Academic Review 2022 Vol.22 Issue 1, pp.33-48

Belge Tipi:

Makale

Yayın Tarihi:

1/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000950558

Sıklık:

Üç Aylık

pISSN:

1303-099X

DOI:

https://doi.org/10.21121/eab.1060605

Özet:

 

This paper demonstrates the significance of jump threshold in terms of modeling and generating realistic trajectories for an electricity spot price process. Determining the suitable threshold and choosing among distributions proposed in literature are key to the followed moment-matching strategy. This is implemented in a two-factor model framework with the Turkish spot electricity price data. The market studied is a developing one which has taken huge steps in liberalization by learning from more advanced markets, yet with limited research on her spot price dynamics. The selected two-factor model entails downward jumps, which are increasingly getting essential components of the process with the progressing integration of renewable sources. Such components are notably observed since 2015 in the spot market. Moreover, considering structural changes in seasonality both improves the model fit and reveals the same year as the break year for Turkish market. Finally, underlying economic interactions and policy implications for the market are discussed.

Makale detayları

On modelling electricity spot prices: A case study for the Turkish market

Yazarlar: Ali Ulvi ÖZGÜL | Dündar KÖK

Yayıncı: Ege University

Ana Başlıklar: Yönetim

Dergi: Ege Academic Review 2022 Vol.22 Issue 1, pp.33-48

Belge Tipi: Makale

Yayın Tarihi: 1/2022

Belge Dili: İngilizce

Document ID (Org No.): 2000950558

Sıklık: Üç Aylık

pISSN: 1303-099X

DOI: https://doi.org/10.21121/eab.1060605

Sayı

Yazarlar:

Ali Ulvi ÖZGÜL | Dündar KÖK

Yayıncı:

Ege University

Ana Başlıklar:

Yönetim

Dergi:

Ege Academic Review 2022 Vol.22 Issue 1, pp.33-48

Belge Tipi:

Makale

Yayın Tarihi:

1/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000950558

Sıklık:

Üç Aylık

pISSN:

1303-099X

DOI:

https://doi.org/10.21121/eab.1060605