In this paper we present an extensive comparison of four different classes of models for daily forecasting of spot electricity prices, including ARMAX, constant and time-varying parameter regression models as well as non linear Markov regime-switching regressions. They are selected for...

In this work, we explore the impact that intra-daily information could have on explaining and forecasting the conditional volatility of daily electricity returns. Returns are computed on Italian spot prices. The basic model considers an autoregressive structure on the conditional mean, daily...

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

This paper examines the likely market for electrical energy storage from a market viewpoint, taking market prices as given and determining the extent to which a strategy of arbitrage across the day, buying at the lowest price times at night and selling at the highest times during the early...