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...

In this work we are going to explore how to evaluate the cost risk related to the market-based ancillary services procurement by an electricity Transmission System Operator (TSO). Firstly the notion of Cost-at-Risk (CaR) is defined in the context of the dispatching market. Secondly, we are...

This paper investigates the demand for money by firms and the existence of economies of scales in order to evaluate the efficiency in the cash management of the Italian manufacturing industry. We estimate a money demand for cash elaborated by Fujiki and Mulligan (1996). Estimates differ from the...

Statistical tests routinely adopted for detecting nonlinear components in time series rely on the auxiliary regression of ARMA lagged residuals, and the Lagrange multiplier test to detect ARCH components is an example. The size distortion of such test suggests adopting a weighted test, where the...

In this paper we suggest an extension of the forward search methodology to GARCH models which are often used for forecasting stock market volatility. It is frequently found that estimated residuals from GARCH models have excess kurtosis, even when one allows for conditional t-distributed errors....

This paper explores the relationship between domestic retail electricity prices in Great Britain and their determinants in the particular context of the New Electricity Trading Arrangements (NETA) introduced in 2001. The analysis requires a consistent comparison of wholesale power price series...

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...

This paper explores the relationship between domestic retail electricity prices in Great Britain and their determinants in the context of the New Electricity Trading Arrangements (NETA) introduced in 2001. We employ a consistent comparison of wholesale power price series before and after NETA,...