참고문헌
- 박민혁.문양택.박중구, "전력계통한계가격(SMP)과 기저발전비율, LNG 도입가격, 환율 간 인과관계 분석", 「조명‧전기설비 학회논문지」, 제28권 제7호, 2014, pp. 97~105.
- 신동현.김재혁, "전력 발전시장의 충격식별과 계통한계가격 변동성 분석: 전력수요 예측오차 충격을 중심으로", 「응용경제」, 제17권 제2호, 2015, pp. 121~166.
- 윤원철, "전력시장가격에 대한 역사적 요인분해", 「에너지경제연구」, 제16권 제1호, 2017, pp. 35~55. https://doi.org/10.22794/KEER.2017.16.1.002
- 이서진.유종민, "재생에너지 발전 확대에 따른 전력계통한계가격의 변화", 「자원환경경제연구」, 제31권 제2호, 2022, pp. 141~163. https://doi.org/10.15266/KEREA.2022.31.2.141
- 전력거래소, "변동비반영시장 평가진단 및 개선 연구", 2005.
- Asche, F., P. Osmundsen, and M. Sandsmark, "The UK market for natural gas, oil and electricity: are the prices decoupled?" Energy Journal, Vol. 27, No. 2, 2006, pp. 27~40.
- Benini, M., M. Marracci, P. Pelacchi, and A. Venturini, "Day-ahead market price volatility analysis in deregulated electricity markets," IEEE Power Engineering Society Summer Meeting, Vol. 3, 2002, pp. 1354~1359.
- Bierbrauer, M., C. Menn, S. T. Rachev, and S. Trucks, "Spot and derivative pricing in the EEX power markets," Journal of Banking and Finance, Vol. 31, 2007, pp. 3468~3485.
- Bowden, N., and J. E. Payne, "Short term forecasting of electricity prices for MISO hubs: evidence from ARIMA-EGARCH models," Energy Economics, Vol. 30, 2008, pp. 3186~3197. https://doi.org/10.1016/j.eneco.2008.06.003
- Brown, J. P., and A. Kodaka, U.S. Electricity Prices in the Wake of Growing Natural Gas Production, Working paper, Federal Reserve Bank of Kansas City, 2014.
- Chae, Y., M. Kim, and S. Yoo, "Does natural gas fuel price cause system marginal price, vice-versa, or neither? A causality analysis," Energy, Vol. 47, 2012, pp. 199~204. https://doi.org/10.1016/j.energy.2012.09.047
- Cifter, A., foretastingelectricity price volatility with the Markov-switching GARCH model: Evidence from the Nordic electric power market," Electric Power System Research, Vol. 102, 2013, pp. 61~67. https://doi.org/10.1016/j.epsr.2013.04.007
- Emery, G. W., and Q. Liu, "An Analysis of the Relationship between Electricity and Natural-Gas Futures Prices," Journal of Futures Markets, Vol. 22, No. 2, 2002, pp. 95~122. https://doi.org/10.1002/fut.2209
- Frommel, M., X., Han, and K. Stepan, "Modeling the daily electricity price volatility with realized measures," Energy Economics, Vol. 44, 2014, pp. 492~502. https://doi.org/10.1016/j.eneco.2014.03.001
- Furio, D., and H. Chulia, "Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain," Energy Economics, Vol. 34, 2012, pp. 2058~2065. https://doi.org/10.1016/j.eneco.2012.02.014
- George, E. I., and R. E. McCulloch, "Variable Selection via Gibbs Sampling," Journal of the American Statistical Association, Vol. 88, 1993, pp. 881~889. https://doi.org/10.1080/01621459.1993.10476353
- George, E. I., D. Sun, and S. Ni, "Bayesian stochastic search for VAR model restrictions," Journal of Econometrics, Vol. 142, 2008, pp. 553~580. https://doi.org/10.1016/j.jeconom.2007.08.017
- Haldrup, N., and M. O. Nielsen, "A regime switching long memory model for electricity pricess," Journal of Econometrics, Vol. 135, 2006, pp. 349~376. https://doi.org/10.1016/j.jeconom.2005.07.021
- Hickey, E., D. G. Loomis, and H. Mohammadi, "Forecasting hourly electricity prices using ARMAX-GARCH models: an application to MISO hubs," Energy Economics, Vol. 34, 2012, pp. 307~315. https://doi.org/10.1016/j.eneco.2011.11.011
- Huisman, R., and R. Mahieu, "Regime jumps in electricity prices," Energy Economics, Vol. 25, 2003, pp. 425~434. https://doi.org/10.1016/S0140-9883(03)00041-0
- Jonsson, T., P. Pinson, and H. Madsen, "On the impact of wind energy forecasts," Energy Economics, Vol. 32, 2010, pp. 313~320. https://doi.org/10.1016/j.eneco.2009.10.018
- Kalantzis, F. G., and N. T. Milonas, "Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany," Energy Economics, Vol. 36, 2013, pp. 454~463. https://doi.org/10.1016/j.eneco.2012.09.017
- Ketterer, J. C., "The impact of wind power generation on the electricity price in Germany," Energy Economics, Vol. 44, 2014, pp. 270~280. https://doi.org/10.1016/j.eneco.2014.04.003
- Kim, Y. M., "Bayesian Variable Selection in Markov Switching Models," Working Paper, 2022.
- Knittel, C., and M. Roberts, "An empirical examination of restructured electricity prices," Energy Economics, Vol. 27, 2005, pp. 791~817. https://doi.org/10.1016/j.eneco.2004.11.005
- Kyritsis, E., J. Andersson, and A. Serletis, "Electricity prices, large-scale renewable integration, and policy implications," Energy Policy, Vol. 101, 2017, pp. 550~560. https://doi.org/10.1016/j.enpol.2016.11.014
- Liu, H., and J. Shi, "Applying ARMA-GARCH approaches to forecasting short-term electricity prices," Energy Economics, Vol. 37, 2013, pp. 152~166. https://doi.org/10.1016/j.eneco.2013.02.006
- Liu, L. Y., A. J. Patton, and K. Sheppard, "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Vol. 187, No. 1, 2015, pp. 298~311.
- Martinez-Anido, C., G. Brinkman, and B. M. Hodge, "The impact of wind power on electricity prices," Renewable Energy, Vol. 94, 2016, pp. 474~487. https://doi.org/10.1016/j.renene.2016.03.053
- Mauritzen, J., "Dead battery? Wind power, the spot market, and hydro power interaction in the nordic electricity market," Energy Journal, Vol. 34, 2013, pp. 103~124. https://doi.org/10.5547/01956574.34.1.5
- Mjelde, J. W., and D. A. Bessler, "Market integration among electricity markets and their major fuel source markets," Energy Economics, Vol. 31, 2009, pp. 482~491. https://doi.org/10.1016/j.eneco.2009.02.002
- Munoz, M. P., and D. A. Dickey, "Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case," Energy Economics, Vol. 31, 2009, pp. 857~866. https://doi.org/10.1016/j.eneco.2009.05.011
- Plihal, T., and S. Lyocsa, "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?" International Review of Economics, Vol. 71, 2021, pp. 811~829.
- Rintamaki, T., A. S. Siddiqui, and A. Salo, "Does renewable energy generation decrease the volatility of electricity prices? An analysis of Denmark and Germany," Energy Economics, Vol. 62, 2017, pp. 270~282. https://doi.org/10.1016/j.eneco.2016.12.019
- Saretto, A., A. Shcherbakova, and J. Lin, "What Fuels the Volatility of Electricity Prices?" Elsevier, 2019, 41p. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3324592
- Serletis, A., and J. Herbert, "The message in North American energy prices," Energy Economics, Vol. 21, 1999, pp. 471~483. https://doi.org/10.1016/S0140-9883(99)00015-8
- Ullrich, C. J., "Realized volatility and price spikes in electricity markets: The importance of observation frequency," Energy Economics, Vol. 34, 2012, pp. 1809~1818. https://doi.org/10.1016/j.eneco.2012.07.003