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Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...
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, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …
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Forecasting hourly electricity prices and their characteristic properties is a core challenge for energy generation companies and trading houses. The short-term marketing and purchase of electricity is usually managed with standardized products traded on different markets and with specific...
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This paper develops a framework for renewable producers to withhold capacity from the day-ahead market in response to higher renewable output risk. The developed hypotheses are tested on a rich dataset from the German electricity market, with a novel measure of renewable forecast risk. The data...
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The European Union's push towards market-based procurement of redispatch services has sparked fears of so called Inc-Dec-Gaming, i.e. the incentive to engage in arbitrage between the national wholesale market and the local redispatch market. The latter would increase both likelihood and severity...
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