Electricity pool prices: a case study in nonlinear time-series modelling
This paper considers modelling the behaviour of prices in the English and Welsh wholesale electricity Pool since the creation of this spot market in 1990. The process turns out to be nonlinear and a logistic smooth transition autoregressive model is fitted and shown to be superior to a linear alternative. The behaviour of the estimated model is discussed, and it is seen that nonlinearity is needed to describe the institutional characteristics and historical path of pool prices.
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