This paper analyzes the dynamic behavior of day-ahead spot prices in the German electricity spot market due to positive structural shocks in wind and solar power. It uses a dynamic structural vector autoregressive model to estimate the related structural impulse response functions. The estimates...

With the increasing integration of wind and photovoltaic power in the whole European power system, there is a longing for detecting how to trade energy in the ever-changing intraday market from electric power industries. The intraday trading becomes even more relevant in the wake of the European...

Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices. In this paper such models are compared to an ordinary linear autoregressive model with regard to their forecast performance. The...

In der vorliegenden Arbeit werden verschiedene fundamentale Prognosemodelle für die Preise von stündlichen Day-Ahead Elektrizitätskontrakten auf den deutschen Markt geschätzt und getestet. Dabei wird ein breites Spektrum an fundamentalen Variablen berücksichtigt, um den spezifischen...