This study investigates the volatility connectedness between the Irish and Great Britain electricity markets and how it is driven by changes in energy policy, institutional structures and political ideologies. We assess various aspects of this volatility connectedness including static...

This study investigates the volatility connectedness between the Irish and Great Britain electricity markets and how it is driven by changes in energy policy, institutional structures and political ideologies. We assess various aspects of this volatility connectedness including static...

Real-time pricing (RTP) of electricity would improve the efficiency of consumption and investment and would lessen the potential harm from market power. Conventional wisdom has claimed that RTP has an additional environmental benefit. We argue that RTP will reduce variance of electricity load...

In this paper, we study the methods of combining different volatility forecasts using various GARCH models. Given that the major risk exposure for many investors in energy is the volatility of the electricity price, our motivation stems from the fact that there is no single best model for...

This paper presents implied volatility smiles and skews for plain vanilla electricity options based on a new bid stack model developed in a previous paper. This underlying bid stack model for the electricity market is extended to the case of an arbitrary number N of technology classes embedded...

Restricted participation in sequential markets may cause high price volatility and welfare losses. In this paper we therefore analyze the drivers of restricted participation in the German intraday auctin which is a short-term electricity market with quarter-hourly products. Applying a...