The paper presents analysis of the seasonality of Italian daily electricity prices. Since the correct detection of the nature, stochastic or probabilistic, of the seasonality is crucial in ARIMA modeling, a test that allows such detection is presented. The application of this test to the Italian daily prices in the years 2008-11has pointed to the presence of deterministic seasonality in the short run. Nevertheless, seasonality has decreased in the last two years as consequence of a more balanced consumption of electricity over the week.

Deterministic or stochastic seasonality in daily electricity prices?

CHIRICO, PAOLO
2012-01-01

Abstract

The paper presents analysis of the seasonality of Italian daily electricity prices. Since the correct detection of the nature, stochastic or probabilistic, of the seasonality is crucial in ARIMA modeling, a test that allows such detection is presented. The application of this test to the Italian daily prices in the years 2008-11has pointed to the presence of deterministic seasonality in the short run. Nevertheless, seasonality has decreased in the last two years as consequence of a more balanced consumption of electricity over the week.
2012
46TH SCIENTIFIC MEETING OF THE ITALIAN STATISTICAL SOCIETY
Roma
20-22/6/2013
Proceedings of the XLVI Scientific Meeting
CLEUP - Coop. Libraria Editrice Università di Padova
1
4
9788861298828
Electricity prices; HEGY test
PAOLO CHIRICO
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/134464
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