Browsing by Author "Bask, Mikael"

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    Market Structure and the Stability and Volatility of Electricity Prices
    (2008-11-06T13:43:01Z) Bask, Mikael; Anna, Widerberg
    By using a novel approach in this paper,(λ,σ²)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord Pool have been generated by a stochastic dynamic system that most often has become more stable during the step-wise integration of the Nordic power market means that this market is less sensitive to shocks after the integration process than it was before this process. This is good news.
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    The Stability and Volatility of Electricity Prices: An Illustration of (λ, σ²) Analysis
    (2007-10-09T11:17:22Z) Bask, Mikael; Widerberg, Anna
    The aim of this letter is to discuss and illustrate what we call (λ, σ²)- analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate new research questions for economic theory. The data set used in an empirical illustration is spot electricity prices from Nord Pool.