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Missouri University of Science and Technology
<p>Electricity -- Prices -- Econometric models<br />GARCH model<br />Time-series analysis</p>
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Modeling Hourly Electricity Prices: A Structural Time Series Approach Incorporating Modified Garch Innovations, Edirisinghe Mudiyanselage Asitha Edirisinghe
Modeling Hourly Electricity Prices: A Structural Time Series Approach Incorporating Modified Garch Innovations, Edirisinghe Mudiyanselage Asitha Edirisinghe
Doctoral Dissertations
"The main objective of this research is to develop time series based procedures for modeling day-ahead and real-time hourly electricity prices. Such empirical processes exhibit features that make the direct application of standard time series models infeasible. Four years of hourly day-ahead and real-time electricity price data from the region supplied by the American Electric Power (AEP) company through the PJM Regional Transmission Organization (RTO) and one half years of real-time electricity prices from the MISO RTO are utilized as an empirical basis for developing such procedures. The price data show several features, such as irregular seasonal behavior, weekly and …