Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/148871 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2016-035
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
The 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 fore- cast electricity prices taking into account information on renewable energy production. While most literature focuses on point forecasting, our method- ology forecasts the whole distribution of electricity prices and incorporates spike risk, which is of great value for risk management. It is based on func- tional 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 effect both, the location and the shape of spot price densities. A comparison with benchmark methods and an application to risk management are provided.
Schlagwörter: 
electricity prices
residual load
probabilistic forecasting
value at risk
expected shortfall
functional data analysis
JEL: 
C1
Q41
Q47
Dokumentart: 
Working Paper

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