This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into...

Modelling spot price behavior plays a key role in the electric- ity market, since this is the breeding engine for the activity in the corre- sponding forward and futures market: developers and generators (as well as traders) need to know how electricity prices behave, as their profitabil- ity...