We present a stochastic modelling approach to describe the dynamics of hourly electricity prices. The suggested … electricity spot prices. The basic idea is to analyze day-ahead prices as panel of 24 cross-sectional hours and to identify … distribution forecast accuracy. The application for German electricity prices 2015 reveal that: (i) An autoregressive specification …

We develop an analytical model to derive the competitive market equilibrium for electricity spot and reserve markets … under stochastic demand and uncertain renewable electricity generation. We then derive the welfare-optimal provision of … reserves. At rst-best, cost of reserve capacity is balanced against expected cost of outages. The rst-best market equilibrium …

fundamental modelling approach to determine hourly German day-ahead power market prices and production volumes. The methodology … availabilities, fuel prices, must-run production and cross-border exchange. We reduce complexity by considering technology classes … 5.6 €/MWh and accurately reproduces the electricity production volumes for most thermal production units. In a case …

The profitable exploitation of asset portfolios in the European electricity markets has become more challenging in … electricity market segments, i.e., hourly day-ahead and quarterhourly intraday opening auctions, and control reserve markets, i …