Template-Type: ReDIF-Article 1.0 
Author-Name: Miguel Angel Martin-Valmayor
Author-Name:  Luis Alberiko Gil-Alaña
Author-Email:  alana@unav.es
Author-Workplace-Name:  Facultad de Derecho, Empresa y Gobierno, Universidad Francisco de Vitoria, Spain
Title: Hourly Energy Prices in Spain - Evidence of Persistence Across Different Months
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-specific effects on the data series.
Classification-JEL:  C22
Keywords:  Energy consumption, energy prices, long memory, fractional integration, persistence
Journal:  Energy RESEARCH LETTERS
Pages: 1-6
Volume: 4
Issue: 3
Year:  2024
DOI:  2024/07/09
File-URL:  https://erl.scholasticahq.com/api/v1/articles/33901-hourly-energy-prices-in-spain-evidence-of-persistence-across-different-months.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnerl:87