The authors model a hierarchical Stackelberg game in a competitive power market under high behind-the-meter photovoltaics penetration and demand-side uncertainty, with emphasis on the feedback loop between distributed generation via photovoltaics and…
The authors model the supply and demand curves of electricity day-ahead auctions in a parsimonious way by building an appropriate algorithm to present the information about electricity prices and demand with far fewer parameters than the existing…
This paper provides a method to identify the best predictive variables and the appropriate predictive indexes for an aggregate hydropower storage forecasting model. To this end, we use an entropy-based approach.
The authors propose a new modeling approach that incorporates trend, seasonality and weather conditions as explicative variables in a shallow neural network with an autoregressive feature.
The impact of energy costs on industrial performance: identifying price and quantity effects in the aluminum industry using a data envelopment analysis approach
The authors build a frontier function model with technical and cost efficiency measures to assess the impact of energy costs on competitiveness in the aluminum industry, a heavy energy consumer, by identifying what may be attributed to price and quantity…
The authors employ portfolio analysis to explore whether energy is a fundamental economic factor affecting cryptocurrency prices.
In this paper, we analyze the results of incentive regulation for Brazilian transmission companies regarding operational costs.
This paper investigates the significance of oil, gold and coal returns on Bitcoin returns for a research duration of January 2011 to September 2018 on a monthly periodic basis.
This paper deals with the modeling of trading activity on the European electricity intraday market by a self-exciting point process.
The goal of this paper is twofold: (1) to describe the new outlook of LNG markets, which has become more and more spot-centric, with Asian LNG futures bringing transparency to spot and forward prices; and (2) to address the valuation of the rerouting…
The authors investigate the performance of various value-at-risk (VaR) models in the context of the highly volatile Nordic power futures market, examining whether simple averages of models provide better results than the individual models themselves.
Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for electricity supply shocks based on a time-varying…
In this webinar, a panel discusses what organisations should keep in mind as they embark on their digitalisation journey, the challenges of which they need to be aware to be aware and what is next on the horizon
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
This paper examines the dynamics and spillover behavior between time-varying optimal weights and hedge ratios in order to analyze optimal volatility allocation spillover and characteristic structure.
This paper studies the optimal extraction and taxation of nonrenewable natural resources.
International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis
The authors examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures.
Carbon pricing paths to a greener future, and potential roadblocks to public companies’ creditworthiness
In this paper, the authors introduce a valuation-based approach to estimate how energy transition risk may impact the creditworthiness of public companies globally within the next thirty years.
Overhauling pricing models could reap rewards even if prices don’t cross zero again
The market is gravitating to the Bachelier model as an alternative to Black 76
Bourse draws criticism over timing of options model change; delay in sending key margin file
This paper provides an alternative way to introduce the stylized facts on electricity futures.
Energy25 aims to capture, define and analyse an important period in the development of energy markets, providing an invaluable yardstick for all participants. More broadly, it represents the latest stage in the strategy of defining, researching and…
The impact of end-user market integration and the smart grid on electricity retailers in the Nordic region
With the help of a mixed complementarity problem formulation that describes a simplified market setting with two competing retailers, this paper analyzes the impact of the pending market changes on electricity retailers’ price markup and profit.