Hourly energy prices in Spain: evidence of persistence across different months.
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Asia-Pacific Applied Economics Association
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Abstract
We examine the hourly structure of energy prices in Spain using 12 one-month-long series (from November 2020 to October 2021) of samples of hourly pricing (from 00:00 to 23:00) for each day of the month and applying a long memory approach with fractional integration analysis. Our results indicate that the series are highly persistent, with shocks having permanent effects with non–mean reversion properties, with no month-speciQc effects on the data series.
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Martín Valmayor, M. A., Gil-Alana, L. A. (2022). Hourly energy prices in Spain: evidence of persistence across different months. Energy Research Letters, Vol. 4, Núm. 3.