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2016-09-26Diskussionspapier DOI: 10.18452/4644
Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management.
dc.contributor.authorCabrera, Brenda López
dc.contributor.authorSchulz, Franziska
dc.date.accessioned2017-06-16T01:28:25Z
dc.date.available2017-06-16T01:28:25Z
dc.date.created2017-03-08
dc.date.issued2016-09-26
dc.date.submitted2016-09-26
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5296
dc.description.abstractThe increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and forecast electricity prices taking into account information on renewable energy production. While most literature focuses on point forecasting, our methodology forecasts the whole distribution of electricity prices and incorporates spike risk, which is of great value for risk management. It is based on functional principal component analysis and time-adaptive nonparametric density estimation techniques. The methodology is applied to electricity market data from Germany. We find that renewable infeed effects both, the location and the shape of spot price densities. A comparison with benchmark methods and an application to risk management are provided.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectvalue at riskeng
dc.subjectelectricity priceseng
dc.subjectexpected shortfalleng
dc.subjectfunctional data analysiseng
dc.subjectresidual loadeng
dc.subjectprobabilistic forecastingeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleTime-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management.
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100244555
dc.identifier.doihttp://dx.doi.org/10.18452/4644
local.edoc.pages26
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2016
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2016,35

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