In this paper a robust approach to modelling electricity spot prices is introduced. Differently from what has been recently done in the literature on electricity price forecasting, where the attention has been mainly drawn by the prediction of spikes, the focus of this contribution is on the...

In this paper we present an extensive comparison of four different classes of models for daily forecasting of spot electricity prices, including ARMAX, constant and time-varying parameter regression models as well as non linear Markov regime-switching regressions. They are selected for...

In the last few years we have observed an increasing interest in deregulated electricity markets. Only few papers, to the authors' knowledge, have considered the Italian Electricity Spot market since it has been deregulated recently. This contribution is an investigation with emphasis on price...

In the last few years we have observed deregulation in electricity markets and an increasing interest of price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers, to the authors' knowledge, have considered the Italian Electricity Spot...

The German response to the Fukushima nuclear power plant incident was possibly the most significant change of policy towards nuclear power outside Japan, leading to a sudden and very significant shift in the underlying power generation structure in Germany. This provides a very useful natural...

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...