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...

This paper presents the estimation methods of the Bayesian Graphical Vector Auto-regression with and without innovations such as external regressors (BG-VARX) and Bayesian Graphical Systems Equation Modelling (BG-SEM), which are developed to examine risk network structures embedded in...

Participants in electricity zonal markets are mostly concerned with two layers of value-chain in the production, investment, consumption of electricity and its derived products. On the other hand, achieving the goal of restructuring, policy regulations and transformation, requires accurately...

Despite the high upfront financial costs associated with the existing technologies for energy storage they have become more appealing in recent years in response to the increasing importance of non-dispatchable sources of generation in the energy systems of developed countries. One of the...