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@article{1575258,
author = {Do, Linh Phuong Catherine and Lyócsa, Štefan and Molnár, Peter},
article_number = {10},
doi = {http://dx.doi.org/10.1080/01605682.2019.1634783},
keywords = {Price modelling; wind; solar; renewables; quantile regression},
language = {eng},
issn = {0160-5682},
journal = {Journal of the Operational Research Society},
title = {Impact of wind and solar production on electricity prices: Quantile regression approach},
url = {https://www.tandfonline.com/doi/abs/10.1080/01605682.2019.1634783},
volume = {70},
year = {2019}
}
TY - JOUR
ID - 1575258
AU - Do, Linh Phuong Catherine - Lyócsa, Štefan - Molnár, Peter
PY - 2019
TI - Impact of wind and solar production on electricity prices: Quantile regression approach
JF - Journal of the Operational Research Society
VL - 70
IS - 10
SP - 1752-1768
EP - 1752-1768
SN - 01605682
KW - Price modelling
KW - wind
KW - solar
KW - renewables
KW - quantile regression
UR - https://www.tandfonline.com/doi/abs/10.1080/01605682.2019.1634783
L2 - https://www.tandfonline.com/doi/abs/10.1080/01605682.2019.1634783
N2 - We study the impact of fuel prices, emission allowances, demand, past prices, wind and solar production on hourly day-ahead electricity prices in Germany over the period from January 2015 until June 2018. Working within a linear regression, ARX-EGARCH and quantile regression framework we compare how different pricing factors influence the mean and quantiles of the electricity prices. Contrary to the existing literature, we find that short-term price fluctuations on the fuel markets and emission allowances have little effect on the electricity prices. We also find that day-of-the-week as well as monthly effects have significant impact on the electricity prices in Germany and should not be ignored in model specifications. Three main factors are found to drive extreme prices: price persistence, expected demand and expected wind production. Our findings contribute to understanding of extreme price movements, which can be used in pricing models and hedging strategies.
ER -
DO, Linh Phuong Catherine, Štefan LYÓCSA a Peter MOLNÁR. Impact of wind and solar production on electricity prices: Quantile regression approach. \textit{Journal of the Operational Research Society}. 2019, roč.~70, č.~10, s.~1752-1768. ISSN~0160-5682. Dostupné z: https://dx.doi.org/10.1080/01605682.2019.1634783.
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