With greater penetration of renewable generation, the uncertainty faced in electricity markets has increased substantially. Conventionally, generators are assigned a pre-dispatch quantity in advance of real time, based on estimates of uncertain quantities. Expensive real time adjustments then...

This article analyses the dependence between electricity spot prices and the wind penetration index in the European energy market. The wind penetration index is given by the ratio of the wind energy production divided by the total electricity production. We find that the wind penetration has an...

The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and fore- cast electricity prices taking into account information on renewable...