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A multi-factor approach to modelling the impact of wind energy on electricity spot prices

  • Published:2021-12 Issue: Volume:104 Page:105640
  • ISSN:0140-9883
  • Container-title:Energy Economics
  • language:en
  • Short-container-title:Energy Economics

Author:

Rowińska Paulina A.,Veraart Almut E.D.,Gruet PierreORCID

Funder

EDF Energy

Engineering and Physical Sciences Research Council

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference37 articles.

1. Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes;Barndorff-Nielsen;Bernoulli,2013

2. Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency;Barndorff-Nielsen,2015

3. Ambit Stochastics;Barndorff-Nielsen,2018

4. A rough multi-factor model of electricity spot prices;Bennedsen;Energy Econ.,2017

5. Multivariate continuous-time modeling of wind indexes and hedging of wind risk;Benth;Quant. Finance,2021

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1. The generalized hyperbolic family and automatic model selection through the multiple‐choice LASSO;Statistical Analysis and Data Mining: The ASA Data Science Journal;2023-12-08

2. A Review of Generalized Hyperbolic Distributions;Computational Economics;2023-08-25

3. Spillover Effects among Electricity Prices, Traditional Energy Prices and Carbon Market under Climate Risk;International Journal of Environmental Research and Public Health;2023-01-08

4. Spot Models and Forward Pricing;Springer Finance;2023

5. A survey of electricity spot and futures price models for risk management applications;Energy Economics;2021-10
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