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Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach.
- Source :
- Annals of Operations Research; Jun2022, Vol. 313 Issue 1, p191-229, 39p
- Publication Year :
- 2022
-
Abstract
- In this paper, we analyze the temporal dependence in energy prices and demand using daily data of Portugal and Spain over the period 2007–2017. The methodology used is based on a stochastic Hidden Markov Model and the results indicate first that all significant relationships between energy prices and demands were found to be positive; second, spot prices are only time dependent on future prices and spot energy, while future energy is solely time dependent on spot energy behavior; third, future prices are not only autocorrelated but also time-dependent with spot energy and future energy demands level; and finally, spot energy is autocorrelated and time-dependent with future prices and future energy. Policy implications of the results obtained are presented at the end of the article. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02545330
- Volume :
- 313
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Annals of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- 157413175
- Full Text :
- https://doi.org/10.1007/s10479-021-04211-z