A multivariate dependence analysis for electricity prices, demand and renewable energy sources

This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model while studying Germany, the widest studied market in Europe. The inter-dependencies are investigated in-depth and monitored over time, with particular emphasis on the tail behavior. To this end, suitable tail dependence measures are introduced to take into account a multivariate extreme scenario appropriately identified through the Kendall's distribution function. The empirical evidence demonstrates a strong association between electricity prices, renewable energy sources, and demand within a day and over the studied years. Hence, this analysis provides guidance for further and different incentives for promoting green energy generation while considering the time-varying dependencies of the involved variables. (C) 2022 Elsevier Inc. All rights reserved.

Automated summary

This paper examines the dependence between electricity prices, demand, and renewable energy sources in the German market. It finds a strong association between electricity prices, renewable energy sources, and demand within a day and over the studied years.