We propose an hour-ahead prediction model for electricity prices that capture the heavy tailed behavior that we observe in the hourly spot market in the Ercot (Texas) and the PJM West hub grids. We present a model according to which we separate the price process into a thin-tailed trailing...

This article contributes to the related literature by empirically investigating the efficiency of nine energy and precious metal markets over the last decades, employing several pronounced models. We test for both short- and the long-run efficiency using, in addition to linear cointegration...

The goals of this paper are to 1) simulate the ex-ante riskiness of purchasing a TCC, and 2) evaluate the efficiency of the TCC market in New York State to determine if there is evidence of under-pricing. Three VAR models are estimated using only market data available before the auction. This...

Microgrids are defined as an area of electricity distribution network that can operate autonomously from the rest of the network. In order to achieve the best economic outcomes, the participants in a microgrid can benefit from cooperation in microgrid design and operation. In this paper, a...

This study proposes a new use of Data Envelopment Analysis (DEA) for environmental assessment, paying attention to a methodological bias (i.e., different methods produce different results). DEA is analytically classified into radial and non-radial approaches. The radial approach determines the...

This study discusses a new use of DEA (Data Envelopment Analysis) environmental assessment to measure MRT (Marginal Rate of Transformation) and RS (Rate of Substitution) between desirable and undesirable outputs. To discuss MRT and RS, this study first examines a concept of disposability from...

Energy use in residential buildings is one of the major sources of greenhouse gas emission production from cities. Using microdata from the 2009 Residential Energy Consumption Survey (RECS), this study applies structural equation modeling to analyze the direct, indirect, and total impacts of...

This study proposes a use of Data Envelopment Analysis (DEA) for environmental assessment. All organizations in private and public sectors produce not only desirable (good) but also undesirable (bad) outputs as a result of their economic activities. The proposed use of DEA determines the level...

This study discusses how to apply Data Environment Analysis (DEA) for environmental assessment. A unique feature of DEA environmental assessment is that it classifies outputs into desirable (good) and undesirable (bad) outputs because many firms often produce not only desirable outputs but also...

We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 26 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012. A panel model with fixed effects and Tarch effects shows significant prices for specific risk factors including...