DESCRIPTIVE STATISTICS AND TABLES Variables Congestion from CNOR Congestion to CNOR Log-odds mfx Log-odds mfx CNOR Hydro 0 ,
660*** -0.00262*** -1.531*** -0 ,
Estimations for CNOR-CSUD Variables Congestion from SARD Congestion to SARD Log-odds mfx Log-odds mfx SARD Hydro 0 ,
018*** -0.00108*** -1.897*** -0 ,
216*** -0.00254*** -1.873*** -0 ,
Estimations for CSUD-SUD Variables Congestion from SICI Congestion to SICI Log-odds mfx Log-odds mfx SICI Hydro 0 ,
Intermittent Renewable Generation and Network Congestion: An Empirical Analysis of Italian Power Market, SSRN working paper series, 2015. ,
DOI : 10.2139/ssrn.2677118
URL : https://hal.archives-ouvertes.fr/hal-01218543
Computation and analysis of multiple structural change models, Journal of Applied Econometrics, vol.6, issue.1, pp.72-78, 2003. ,
DOI : 10.7202/602236ar
Econometric Analysis of Panel Data, 1995. ,
What causes the forecasting failure of Markovswitching models? A Monte Carlo study, Studies in Nonlinear Dynamics and Econometrics, vol.9, issue.2, 2005. ,
Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.307-327, 1986. ,
DOI : 10.1016/0304-4076(86)90063-1
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.161.7380
A game theory simulator for assessing the performances of competitive electricity markets, Electric Power Systems Research, pp.217-227, 2008. ,
Combining day-ahead forecasts for British electricity prices, Energy Economics, vol.35, pp.88-103, 2013. ,
DOI : 10.1016/j.eneco.2011.12.001
URL : http://paduaresearch.cab.unipd.it/8785/1/2011_1_20110110132225.pdf
Deregulated Wholesale Electricity Prices in Italy: An Empirical Analysis, International Advances in Economic Research, vol.15, issue.3, pp.415-432, 2007. ,
DOI : 10.1093/biomet/54.3-4.403
Short term forecasting of electricity prices for MISO hubs: Evidence from ARIMA-EGARCH models, Energy Economics, vol.30, issue.6, pp.3186-3197, 2008. ,
DOI : 10.1016/j.eneco.2008.06.003
Electricity price modeling and asset valuation: a multi-fuel structural approach, Mathematics and Financial Economics, vol.46, issue.1, pp.167-202, 2013. ,
DOI : 10.1287/mnsc.46.7.893.12034
URL : http://arxiv.org/abs/1205.2299
Enhancing Agent Intelligence through Evolving Reservoir Networks for Predictions in Power Stock Markets, Lecture Notes in Computer Science, vol.20, issue.8, pp.228-247, 2012. ,
DOI : 10.1109/IS.2006.348454
The merit-order effect in the Italian power market: The impact of solar and wind generation on national wholesale electricity prices, Energy Policy, vol.77, pp.79-88, 2015. ,
DOI : 10.1016/j.enpol.2014.11.038
ARIMA models to predict next-day electricity prices, IEEE Transactions on Power Systems, vol.18, issue.3, pp.1014-1020, 2003. ,
DOI : 10.1109/TPWRS.2002.804943
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.198.2576
Stochastic behavior of the electricity bid stack: from fundamental drivers to power prices, The Journal of Energy Markets, vol.2, issue.1, pp.29-69, 2009. ,
DOI : 10.21314/JEM.2009.032
Forecasting electricity spot-prices using linear univariate time-series models, Applied Energy, vol.77, issue.1, pp.87-106, 2004. ,
DOI : 10.1016/S0306-2619(03)00096-5
High penetration wind generation impacts on spot prices in the Australian national electricity market, Energy Policy, vol.39, issue.10, pp.5939-5949, 2011. ,
DOI : 10.1016/j.enpol.2011.06.053
Why do regime-switching models forecast so badly?, Journal of Forecasting, vol.37, issue.1, pp.1-16, 1999. ,
DOI : 10.1257/jep.4.1.117
Price discovery in restructured electricity markets, Resource and Energy Economics, vol.30, issue.2, 2008. ,
DOI : 10.1016/j.reseneeco.2007.08.001
Distribution of the estimators for autoregressive time series with a unit root, Journal of American Statistical Association, vol.55, pp.277-301, 1987. ,
Comparing Predictive Accuracy, Journal of Business and Economic Statistics, vol.13, pp.253-63, 1995. ,
DOI : 10.3386/t0169
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.352.9389
Forecasting electricity spot market prices with a k-factor GIGARCH process, Applied Energy, vol.86, issue.4, pp.505-510, 2009. ,
DOI : 10.1016/j.apenergy.2008.07.005
URL : https://hal.archives-ouvertes.fr/halshs-00188264
Dynamic Conditional Correlation, Journal of Business & Economic Statistics, vol.20, issue.3, pp.339-350, 2002. ,
DOI : 10.1198/073500102288618487
Evaluating the market splitting determinants: evidence from the Iberian spot electricity prices, Energy Policy, vol.85, pp.218-234, 2015. ,
DOI : 10.1016/j.enpol.2015.06.013
Phasing in wind-power in Norway: Network congestion and crowding-out of hydropower, Energy Policy, vol.36, issue.9, pp.3514-3520, 2008. ,
DOI : 10.1016/j.enpol.2008.06.005
Design of the electricity market monitoring system, 2008 Third International Conference on Electric Utility Deregulation and Restructuring and Power Technologies, pp.99-106, 2008. ,
DOI : 10.1109/DRPT.2008.4523386
A GARCH Forecasting Model to Predict Day-Ahead Electricity Prices, IEEE Transactions on Power Systems, vol.20, issue.2, pp.867-874, 2005. ,
DOI : 10.1109/TPWRS.2005.846044
An ex-post analysis of the effect of renewables and cogeneration on Spanish electricity prices, Energy Economics, vol.33, issue.S1, pp.33-59, 2011. ,
DOI : 10.1016/j.eneco.2011.07.027
Zonal price analysis of the Italian wholesale electricity market, 2009 6th International Conference on the European Energy Market, 2009. ,
DOI : 10.1109/EEM.2009.5207198
Forecasting Italian electricity zonal prices with exogenous variables, Energy Economics, vol.34, issue.6, pp.2228-2239, 2012. ,
DOI : 10.1016/j.eneco.2012.06.024
URL : http://cadmus.eui.eu//bitstream/1814/25076/2/2013_Gianfreda_et-all_ForecastingItalianElectricity.pdf
Modeling and forecasting electricity prices with input/output hidden Markov models, IEEE Transactions on Power Systems, vol.20, issue.1, pp.13-24, 2005. ,
Spurious regressions in econometrics, Journal of Econometrics, vol.2, issue.2, pp.111-120, 1974. ,
DOI : 10.1016/0304-4076(74)90034-7
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.353.2946
Econometric Analysis, 2003. ,
Learning Agents in an Artificial Power Exchange: Tacit Collusion, Market Power and Efficiency of Two Double-auction Mechanisms, Computational Economics, vol.8, issue.3???4, pp.73-98, 2008. ,
DOI : 10.5547/ISSN0195-6574-EJ-Vol27-No1-2
URL : https://hal.archives-ouvertes.fr/halshs-00871014
Directional congestion and regime switching in a long memory model for electricity prices, Stud. Nonlinear Dyn. Econom, vol.10, issue.3, 2006. ,
Nodal and zonal congestion management and the exercise of market power, 2000. ,
Integration of superconducting cables in distribution networks with high penetration of renewable energy resources: Techno-economic analysis, International Journal of Electrical Power & Energy Systems, vol.62, 2014. ,
DOI : 10.1016/j.ijepes.2014.04.021
Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility, Energy Economics, vol.32, issue.3, pp.709-725, 2010. ,
DOI : 10.1016/j.eneco.2009.10.001
Forecasting hourly electricity prices using ARMAX???GARCH models: An application to MISO hubs, Energy Economics, vol.34, issue.1, pp.307-315, 2012. ,
DOI : 10.1016/j.eneco.2011.11.011
Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets, Energy Economics, vol.31, issue.5, pp.31-748, 2009. ,
DOI : 10.1016/j.eneco.2009.05.003
Locational marginal price forecasting in deregulated electricity markets using artificial intelligence, textitIEE Proceedings: Generation , Transmission and Distribution, pp.621-626, 2002. ,
DOI : 10.1049/ip-gtd:20020371
Hourly electricity prices in day-ahead markets, Energy Economics, vol.29, issue.2, pp.240-248, 2007. ,
DOI : 10.1016/j.eneco.2006.08.005
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.483.6766
Modeling spot price dependence in Australian electricity markets with applications to risk management, Computers & Operations Research, vol.66, pp.415-433, 2016. ,
DOI : 10.1016/j.cor.2015.07.019
On the market impact of wind energy forecasts, Energy Economics, vol.32, issue.2, pp.313-320, 2010. ,
DOI : 10.1016/j.eneco.2009.10.018
The impact of wind power generation on the electricity price in Germany, Energy Economics, vol.44, pp.270-280, 2014. ,
DOI : 10.1016/j.eneco.2014.04.003
An empirical examination of restructured electricity prices, Energy Economics, vol.27, issue.5, pp.791-817, 2005. ,
DOI : 10.1016/j.eneco.2004.11.005
Improving Congestion Management: How to Facilitate the Integration of Renewable Generation in Germany, The Energy Journal, vol.34, issue.4, 2013. ,
DOI : 10.5547/01956574.34.4.4
Evaluating the hedging performance of the constant-correlation GARCH model, Applied Financial Economics, vol.59, issue.11, pp.791-798, 2002. ,
DOI : 10.1016/S0304-4076(99)00080-9
Applying ARMA???GARCH approaches to forecasting short-term electricity prices, Energy Economics, vol.37, pp.152-166, 2013. ,
DOI : 10.1016/j.eneco.2013.02.006
Electricity prices and power derivatives. -evidence from the nordic power exchange, Review of Derivatives Research, vol.5, issue.1, pp.5-50, 2000. ,
DOI : 10.1023/A:1013846631785
Intermittently renewable energy, optimal capacity mix and prices in a deregulated electricity market, Energy Policy, vol.39, issue.7, pp.3922-3927, 2011. ,
DOI : 10.1016/j.enpol.2010.11.008
Point and interval forecasting of spot electricity prices: Linear vs. non-linear time series models, Studies in Nonlinear Dynamics and Econometrics, vol.10, issue.3 2, 2006. ,
Forecasting next-day electricity prices by time series models, IEEE Transactions on Power Systems, vol.17, issue.2, pp.342-348, 2002. ,
DOI : 10.1109/TPWRS.2002.1007902
The merit-order effect of wind generation in the Irish electricity market, Proceedings of the 30th USAEE/IAEEE North American Conference, 2011. ,
Price dynamics among U.S. markets, Energy Economics, vol.28, issue.1, 2006. ,
No PUN Intended: A time series analysis of Italian Day-Ahead electricity price, EUI Working papers, 2006. ,
Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices, Tinbergen Institute Discussion Paper, pp.2013-068, 2013. ,
DOI : 10.2139/ssrn.2266312
URL : https://www.econstor.eu/bitstream/10419/87547/1/13-068.pdf
The effects of renewables in space and time: A regime switching model of the Italian power price, Energy Policy, vol.85, pp.487-499, 2015. ,
DOI : 10.1016/j.enpol.2015.07.025
Estimating the Dimension of a Model, The Annals of Statistics, vol.6, issue.2, pp.461-464, 1978. ,
DOI : 10.1214/aos/1176344136
The integration of renewable energies into the German transmission grid???A scenario comparison, Energy Policy, vol.61, pp.140-150, 2013. ,
DOI : 10.1016/j.enpol.2013.06.006
Tests for Unit Roots, Journal of Business & Economic Statistics, vol.20, issue.1, 1989. ,
DOI : 10.1198/073500102753410354
Distributional modeling and short-term forecasting of electricity prices by Generalized Additive Models for Location, Scale and Shape, Energy Economics, vol.33, issue.6, pp.1216-1226, 2011. ,
DOI : 10.1016/j.eneco.2011.05.001
Time series analysis and its applications, 2011. ,
A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations, Journal of Business & Economic Statistics, vol.20, issue.3, pp.351-362, 2002. ,
DOI : 10.1198/073500102288618496
Stochastic factor model for electricity spot price???the case of the Nordic market, Energy Economics, vol.27, issue.2, pp.351-367, 2005. ,
DOI : 10.1016/j.eneco.2005.01.002
Forecasting spot electricity prices with time series models, IEEE Conference Proceedings-EEM05, pp.133-141, 2005. ,
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models, International Journal of Forecasting, vol.24, issue.4, pp.744-763, 2008. ,
DOI : 10.1016/j.ijforecast.2008.08.004
Electricity price forecasting: A review of the state-of-the-art with a look into the future, International Journal of Forecasting, vol.30, issue.4, pp.1030-1081, 2014. ,
DOI : 10.1016/j.ijforecast.2014.08.008
Wind generation and zonal-market price divergence: Evidence from Texas, Energy Policy, vol.39, issue.7, pp.39-3928, 2011. ,
DOI : 10.1016/j.enpol.2010.11.046
Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis, Energy Economics, vol.27, issue.2, pp.337-350, 2005. ,
DOI : 10.1016/j.eneco.2003.11.002
Renewable generation and electricity prices: Taking stock and new evidence for Germany and Austria, Energy Economics, vol.40, issue.1, pp.159-171, 2013. ,
DOI : 10.1016/j.eneco.2013.09.011
A Statistical Approach for Interval Forecasting of the Electricity Price, IEEE Transactions on Power Systems, vol.23, issue.2, pp.267-276, 2008. ,
DOI : 10.1109/TPWRS.2008.919309