Hourly Power Prices by

The liberalization of electricity markets has triggered research in econometric modelling and forecasting of electricity spot prices. Moreover, both the demand and the supply of electricity are subject to weather conditions. Therefore, we examine the relation between hourly electricity spot prices from the European Energy Exchange and weather, represented by temperature and wind velocity. Furthermore, we assess whether the relation can be successfully exploited for forecasting. Thereby, we proceed in the framework of Markov regime-switching models which have become a workhorse in econometric modelling of electricity spot prices. As a result, we detect a strong relationship, on one hand. On the other hand, the significance of this relation for forecasting is confined to certain hours

Models

b

by

Does work always pay in Germany? b

Asymptotic covariance matrices of different shape matrix estimators. Discussion paper

4 th versio

Linear Statistical Inference for Global and Local Minimum Variance Portfolios by

9 th versio

Dependence of Stock Returns in Bull and Bear Markets

1 st versio