Real-time pricing (RTP) of electricity would improve the efficiency of consumption and investment and would lessen the potential harm from market power. Conventional wisdom has claimed that RTP has an additional environmental benefit. We argue that RTP will reduce variance of electricity load...

The dominating view in the literature is that renewable electricity production increases the price variance on spot markets for electricity. In this paper, we critically review this hypothesis. Using a static market model, we identify the variance of the infeed from intermittent electricity...

This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to...

This paper presents a theoretical and empirical analysis of liquidity in the German intraday market for electricity. Two models that aim at explaining intraday liquidity are developed. The first model considers the fundamental merit-order and intraday adjustment needs as the drivers of liquidity...

Restricted participation in sequential markets may cause high price volatility and welfare losses. In this paper we therefore analyze the drivers of restricted participation in the German intraday auctin which is a short-term electricity market with quarter-hourly products. Applying a...

Uncertainty about renewable production increases the importance of sequential short-term trading. We consider a two-stage market where conventional and renewable producers compete in order to satisfy the demand of consumers. The trading in the first stage takes place under uncertainty about...

In this paper, we study the methods of combining different volatility forecasts using various GARCH models. Given that the major risk exposure for many investors in energy is the volatility of the electricity price, our motivation stems from the fact that there is no single best model for...

The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be positively correlated with the lagged price level in settings where...

This paper presents implied volatility smiles and skews for plain vanilla electricity options based on a new bid stack model developed in a previous paper. This underlying bid stack model for the electricity market is extended to the case of an arbitrary number N of technology classes embedded...

Wind power generation of electricity has gained popular support because of its low environmental impact and because of its low costs relative to other renewable energy sources. However, concerns have been raised in the power sector that wind power generation will come with the price of increased...