Novel econometric techniques for modelling and forecasting electricity prices and price volatility in Australia. [ 2008-01-01 - 2011-06-30 ]

Research Grant

Researchers: Professor Adam Clements (Chief Investigator) ,  Stan Hurn (Chief Investigator) ,  ARC Linkage Grant LP1701000985 (Funded by) ,  Dr Kenneth Lindsay (Overseas Investigator) ,  Dr Ralf Becker (Overseas Investigator)
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Brief description Novel econometric techniques for modelling and forecasting electricity prices and price volatility in Australia. Price volatility, particularly price spikes, are of special importance to electricity retailers who, because of retail price regulation, cannot pass them onto final customers and end up bearing the price risk. While state governments may enter into compensation deals with retailers, it is of great interest to both parties to understand why and when these price surges occur and, once they have occurred, how long they will last. A better understanding of the electricity price process will enable more sophisticated plans and strategies to be put in place to hedge against unfavourable, unexpected or extreme price events.

Funding Amount $32,700

Funding Scheme Linkage - International

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