相关论文: Quantifying Volatility Reduction in German Day-ahe…
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…
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,…
Due to the liberalization of markets, the change in the energy mix and the surrounding energy laws, electricity research is a dynamically altering field with steadily changing challenges. One challenge especially for investment decisions is…
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.…
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…
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…
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…
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…
We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction…
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…
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…
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…
In our paper we analyze the relationship between the day-ahead electricity price of the Energy Exchange Austria (EXAA) and other day-ahead electricity prices in Europe. We focus on markets, which settle their prices after the EXAA, which…
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…
In 2022, energy prices skyrocketed across Europe, with average day-ahead spot market prices in Germany 2.43 times higher than the previous year, hinting at future trends. At the same time, electricity infrastructure is expected to be…
Forecasting electricity prices is a challenging task and an active area of research since the 1990s and the deregulation of the traditionally monopolistic and government-controlled power sectors. Although it aims at predicting both spot and…
Modeling power market dynamics is increasingly challenging, as both spatial and temporal imbalances of demand and supply are becoming more pronounced with higher shares of variable renewable energy (VRE). Therefore, a high-resolution…
This paper undertakes a comprehensive investigation of electricity price forecasting methods, focused on the Irish Integrated Single Electricity Market, particularly on changes during recent periods of high volatility. The primary objective…
Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian…
The European electricity market is based on large pricing zones with a uniform day-ahead price. The energy transition leads to changes in supply and demand and increasing redispatch costs. In an attempt to ensure efficient market clearing…