Abstract The major drawback of wind energy relies in its variability in time, which necessitates specific strategies to be settled. One such strategy can be the coordination of wind power production with a co-located power generation of dispatchable energy source (DES), e.g., thermal power...

Abstract In this paper we advance a nonlinear optimization problem for hedging wind power variability by using a dispatchable energy source (DES) like gas. The model considers several important aspects such as modeling of wind power production, electricity price, nonlinear penalization scheme...

Motivated by the theoretical prediction of the opportunistic behaviour of large banks that face expected public intervention, we test a <italic>full</italic> and a <italic>partial</italic> form of the too-big-to-fail (TBTF) hypothesis. The full form of the hypothesis implies the increase in the risk undertakings <italic>and</italic>...

The prediction of wind speed is one of the most important aspects when dealing with renewable energy. In this paper we show a new nonparametric model, based on semi-Markov chains, to predict wind speed and the energy produced by a commercial blade. Particularly, we use an indexed semi-Markov...

The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used for this purpose but better models are needed to reproduce the statistical properties of wind...

Statistical analysis of financial data mostly focused on testing the validity of Brownian motion (Bm). Analyses performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We analyze the behavior of...

The idea of measuring distance between languages seems to have its roots in the work of the French explorer Dumont D’Urville (1832) [13]. He collected comparative word lists for various languages during his voyages aboard the Astrolabe from 1826 to 1829 and, in his work concerning the...

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov process and the overnight returns are modeled by a Markov chain. Based on...