introduction had on electricity market. The most relevant effect is the reduction of the level of electricity price's volatility … multiple linear regression. Then, to study volatility dynamics, we fit a two-states Markov-switching model to represent a high-volatility … and a low-volatility states of the world. This model highlighted that in both states the level of volatility is lower and …

Restricted participation in sequential markets may cause high price volatility and welfare losses. In this paper we … for price volatility and find that full market coupling may trigger quarter-hourly price valatility to decrease by a …