Electricity spot prices are subject to transitory sharp movements commonly referred to as spikes. The paper aims at assessing their effects on model based inferences and predictions, with reference to the Nord Pool power exchange. We identify a spike as a price value which deviates substantially...

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the observed regime states as well as the possibility of fractional cointegration. The model is motivated by the dynamics of electricity prices where the transmission of power is subject to...

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegration. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject...