Florian Ziel, Rick Steinert, Sven Husmann
arXiv 5 Jan 2015 · Finance — Trading · publishedEnergy Economics (2015) · 56 citations (OpenAlex)
arXiv:1501.00818 · PDF · DOI · OpenAlex · Extracted main text
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which enables traders to include the EXAA price into their calculations. For each market we employ econometric models to incorporate the EXAA price and compare them with their counterparts without the price of the Austrian exchange. By employing a forecasting study, we find that electricity price models can be improved when EXAA prices are considered.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bunn, D. W. and Gianfreda, A (2010) Integration and shock transmissions across european electricity forward markets | 0.644 | 2 | 2 | 100% |
| 2 | Ferkingstad, E., Lland, A., and Wilhelmsen, M (2011) Causal modeling and inference for electricity markets | 0.644 | 2 | 2 | 100% |
| 3 | Viehmann, J (2011) Risk premiums in the german day-ahead electricity market | 0.644 | 2 | 2 | 100% |
| 4 | Hamilton, J. D (1994) Time series analysis, volume 2 | 0.511 | 2 | 1 | 100% |
| 5 | Bollino, C. A., Ciferri, D., and Polinori, P (2013) Integration and convergence in european electricity markets | 0.405 | 1 | 1 | 100% |
| 6 | Bordignon, S., Bunn, D. W., Lisi, F., and Nan, F (2013) Combining day-ahead forecasts for British electricity prices | 0.405 | 1 | 1 | 100% |
| 7 | Bosco, B., Parisio, L., Pelagatti, M., and Baldi, F (2010) Long-run relations in european electricity prices | 0.405 | 1 | 1 | 100% |
| 8 | Diebold, F. X (2012) Comparing predictive accuracy, twenty years later: A personal perspective on the use and abuse of diebold-mariano tests | 0.405 | 1 | 1 | 100% |
| 9 | Erni, D (2012) Day-Ahead Electricity Spot Prices-Fundamental Modelling and the Role of Expected Wind Electricity Infeed at the European Energy… | 0.405 | 1 | 1 | 100% |
| 10 | Hickey, E., Loomis, D. G., and Mohammadi, H (2012) Forecasting hourly electricity prices using armax–garch models: An application to miso hubs | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 27 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts | 0.644 | 2 | 2 |
| 2 | Econometric modelling and forecasting of intraday electricity prices | 0.644 | 2 | 2 |