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Title: Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components
Authors: Ioannidis, Filippos 
Kosmidou, Kyriaki 
Savva, Christos S. 
Theodossiou, Panayiotis 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Risk analysis;Asymmetric volatility;Pure and skewness price of risk;Risk neutral equilibrium electricity prices;Skewed generalized error distribution
Issue Date: 1-Mar-2021
Source: Energy Economics, 2021, vol. 95, articl. no. 105110
Volume: 95
Journal: Energy Economics 
Abstract: This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and skewness price components and the development of a risk neutral forecasting equation for electricity prices. Empirical results using ten-years of hourly wholesale prices from the Day-Ahead electricity market in Germany depict the presence of seasonality, strong mean reversion and up-to third degree time-varying moments.
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2021.105110
Rights: © Elsevier
Attribution-NonCommercial-NoDerivatives 4.0 International
Type: Article
Affiliation : Aristotle University of Thessaloniki 
Cyprus University of Technology 
Appears in Collections:Άρθρα/Articles

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