The wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since electricity hourly price densities exhibit a...

New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day-ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying...

We characterize the optimal investment decision and the stock value of an unlevered firm that holds the non-standard option of improving the growth rate of cashflows from its assets in place upon incurring an irreversible cost. The firm's investment policy and equity price are studied as a...

This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between...

The harmonization and integration of separate national energy markets to an interconnected internal European market is a top priority of the European Commission. However, as energy policy largely remains subject to national sovereignty, a higher degree of integration can cause unilateral...