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We conduct an extensive empirical study on short-term electricity price forecasting (EPF) to address the long-standing question if the optimal model structure for EPF is univariate or multivariate. We provide evidence that despite a minor…
Due to major shifts in European energy supply, a structural change can be observed in Austrian electricity spot price data starting from the second quarter of the year 2021 onward. In this work we study the performance of two different…
This work examines how the dependence structures between energy futures asset prices differ in two periods identified before and after the 2008 global financial crisis. These two periods were characterised by a difference in the number of…
Spatial partial equilibrium models incorporating conjectural variations are widely used to analyze the development of oligopolistic multi-agent markets, such as international energy and raw material markets. Although this model type can…
Due to expensive infrastructure and the difficulties in storage, supply conditions of natural gas are different from those of other traditional energy sources like petroleum or coal. To overcome these challenges, supplier countries require…
The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…
This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…
The intricate dynamics of stock markets have led to extensive research on models that are able to effectively explain their inherent complexities. This study leverages the econometrics literature to explore the dynamic factor model as an…
Statistical power estimation for studies with multiple model parameters is inherently a multivariate problem. Power for individual parameters of interest cannot be reliably estimated univariately since correlation and variance explained…
In this study we consider the pricing of energy derivatives when the evolution of spot prices follows a tempered stable or a CGMY driven Ornstein- Uhlenbeck process. To this end, we first calculate the characteristic function of the…
Cross-commodity valuation approaches to value gas fire power plants are well studied in the literature. Hence, the value of the gas fire power plant is identical to the value of a spark spread option wherein the underlying are electricity…
We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial assets. This model provides a quasi closed-form representation of…
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price volatility and storage increments. Model calibrations are…
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…
Electricity market price predictions enable energy market participants to shape their consumption or supply while meeting their economic and environmental objectives. By utilizing the basic properties of the supply-demand matching process…
Electricity price forecasting has become a critical tool for decision-making in energy markets, particularly as the increasing penetration of renewable energy introduces greater volatility and uncertainty. Historically, research in this…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
We develop a theory of bid and ask price dynamics where the two prices form due to interaction of buy and sell orders. In this model the two prices are represented by eigenvalues of a 2x2 price operator corresponding to "bid" and "ask"…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
In the context of multi-curve modeling we consider a two-curve setup, with one curve for discounting (OIS swap curve) and one for generating future cash flows (LIBOR for a give tenor). Within this context we present an approach for the…