The wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since electricity hourly price densities exhibit a...

In this work, we explore the impact that intra-daily information could have on explaining and forecasting the conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an autoregressive structure on the conditional mean, daily...

The massive introduction of RES in electricity markets has influenced the long-run dynamics of electricity prices and their interactions with conventional thermal production sources. Taking into account the Northern Italian zone characterized by a high solar PV and hydro penetration, we...

We characterize the optimal investment decision and the stock value of an unlevered firm that holds the non-standard option of improving the growth rate of cashflows from its assets in place upon incurring an irreversible cost. The firm's investment policy and equity price are studied as a...

We characterize the optimal investment decision and the stock value of an unlevered firm that holds the non-standard option of improving the growth rate of cashflows from its assets in place upon incurring an irreversible cost. The firm's investment policy and equity price are studied as a...

In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...

We present an agent-based model of a multi-tier energy market including gas shippers, electricity generators and retailers. We show how reward interdependence between strategic business units within a vertically integrated firm can increase its profits in oligopolistic energy markets. The...