Modeling Electricity Price Dynamics Using Flexible Distributions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F22%3A00358366" target="_blank" >RIV/68407700:21230/22:00358366 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.3390/math10101757" target="_blank" >https://doi.org/10.3390/math10101757</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/math10101757" target="_blank" >10.3390/math10101757</a>
Alternative languages
Result language
angličtina
Original language name
Modeling Electricity Price Dynamics Using Flexible Distributions
Original language description
We consider the wholesale electricity market prices in England and Wales during its complete history, where price-cap regulation and divestment series were introduced at different points in time. We compare the impact of these regulatory reforms on the dynamics of electricity prices. For this purpose, we apply flexible distributions that account for asymmetry, heavy tails, and excess kurtosis usually observed in data or model residuals. The application of skew generalized error distribution is appropriate for our case study. We find that after the second series of divestments, price level and volatility are lower than during price-cap regulation and after the first series of divestments. This finding implies that a sufficient horizontal restructuring through divestment series may be superior to price-cap regulation. The conclusion could be interesting to other countries because the England and Wales electricity market served as the benchmark model for liberalizing energy markets worldwide.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Mathematics
ISSN
2227-7390
e-ISSN
2227-7390
Volume of the periodical
10
Issue of the periodical within the volume
10
Country of publishing house
CH - SWITZERLAND
Number of pages
15
Pages from-to
1-15
UT code for WoS article
000801913500001
EID of the result in the Scopus database
2-s2.0-85130898162