Reanalysing Price Asymmetries in the Nordic Intraday Market

Research output: Research - peer-reviewArticle in proceedings – Annual report year: 2018

DOI

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This paper investigates whether positive forecast errors influence the intraday price differently than negative forecast errors. The regression analysis focuses on the Nordic intraday market. With this paper we show that no price asymmetries exist, and that previous conclusions are non-robust to reanalysis with a different model specification. The model specification in this paper solves the issue with autocorrelation, which have troubled previous studies. Specifically, the order of autoregressive and moving average parts depend on the time of day, since the underlying autocorrelation structure of the price data differs noticeably with the time of day.
Original languageEnglish
Title of host publicationProceedings of the 2018 15th International Conference on the European Energy Market (EEM)
Number of pages5
PublisherIEEE
Publication date2018
Pages1-5
DOIs
StatePublished - 2018
Event15th International Conference on the European Energy Market - Lodz, Poland
Duration: 27 Jun 201829 Jun 2018

Conference

Conference15th International Conference on the European Energy Market
CountryPoland
CityLodz
Period27/06/201829/06/2018
Series2018 15th International Conference on the European Energy Market (eem)
ISSN2165-4093
CitationsWeb of Science® Times Cited: No match on DOI

    Research areas

  • Econometrics, Intraday Market, Price Formation, Nordic Electricity Market, Follow-up Study
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