Related papers: Causal modeling and inference for electricity mark…
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…
Natural gas supplies in Europe were disrupted and energy prices soared in the context of Russia's invasion of Ukraine. Electricity prices in France experienced the largest relative increase among European countries, even though natural gas…
Electricity markets are changing, driven by large-scale renewable integration and rising demand from electrification and digitalisation. This raises fundamental questions about how electricity prices form as the relationships among key…
This paper introduces a novel Bayesian reverse unrestricted mixed-frequency model applied to a panel of nine European electricity markets. Our model analyzes the impact of daily fossil fuel prices and hourly renewable energy generation on…
Energy markets exhibit complex causal relationships between weather patterns, generation technologies, and price formation, with regime changes occurring continuously rather than at discrete break points. Current approaches model…
The recent energy crisis starting in 2021 led to record-high gas, coal, carbon and power prices, with electricity reaching up to 40 times the pre-crisis average. This had dramatic consequences for operational and risk management prompting…
Researchers and electricity sector practitioners frequently require the supply curve of electricity markets and the price elasticity of supply for purposes such as price forecasting, policy analyses or market power assessment. It is common…
This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model {while studying Germany, the widest studied market in Europe}. The inter-dependencies are…
The large variability of renewable power sources is a central challenge in the transition to a sustainable energy system. Electricity markets are central for the coordination of electric power generation. These markets rely evermore on…
Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights of market structure models with extensive and modern…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
The increasing penetration of variable renewable energy and flexible demand technologies, such as electric vehicles and heat pumps, introduces significant uncertainty in power systems, resulting in greater imbalance; defined as the…
Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…
We study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a probabilistic multivariate conditional time series model…
The liberalization of electricity markets and the development of renewable energy sources has led to new challenges for decision makers. These challenges are accompanied by an increasing uncertainty about future electricity price movements.…
In the following paper, we analyse the ID$_3$-Price in the German Intraday Continuous electricity market using an econometric time series model. A multivariate approach is conducted for hourly and quarter-hourly products separately. We…
The price elasticity of demand can be estimated from observational data using instrumental variables (IV). However, naive IV estimators may be inconsistent in settings with autocorrelated time series. We argue that causal time graphs can…
The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods,…
We conduct the first rigorous study of electricity price volatility for the full panel of electricity prices across three European generation zones. By interpreting the observed day-ahead prices as local averages of a latent price process…
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…