Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/176749
Authors: 
Hain, Martin
Schermeyer, Hans
Uhrig-Homburg, Marliese
Fichtner, Wolf
Year of Publication: 
2017
Series/Report no.: 
Working Paper Series in Production and Energy No. 23
Abstract: 
Renewables introduce new weather-induced patterns and risks for market participants active in the energy commodity sector. We present a flexible framework for power spot prices that is capable of incorporating a weather model for the joint distribution of local weather conditions. This not only allows us to make use of a long history of local weather data in the calibration procedure but also makes it possible to assess how changes in the renewable generation portfolio impact the characteristics of future wholesale spot prices. Empirical tests demonstrate the model's capability to reproduce salient features of market variables. We furthermore show why our model offers unique benefits for market players compared to existing approaches.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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