We apply linear and nonlinear panel models to investigate fundamentals pricing relationships in the Greek day-ahead power market. We link the persistence behaviour and other dynamic properties of power price trajectories to an extended array of fundamental variables reflecting market conditions...

Electricity prices are known to have special statistical properties, where long-memory effects, varying-level periodicities, cross-dependencies and other exogenous influences often work together to form a complex data-generating process. The need for accurately representing all these features...