In the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors' knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently. This contribution is an investigation with emphasis on price...

In this paper the volatility structure of electricity prices in the Italian zonal market is analyzed. Volatility should be a primary concern for investors and operators on energy markets because it is related to investment uncertainty and power plant management. Even if volatility of electricity...

We modelled electricity prices by fractionally integrated processes finding significant relations between zonal spot prices and exogenous variables. Day-ahead forecasts have been computed thanks to forecasted volumes and a scenario analysis

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, to the authors' knowledge, have considered the Italian Electricity Spot...

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...