4.7 Article

Dynamic volatility connectedness in the European electricity market

相关参考文献

注意:仅列出部分参考文献,下载原文获取全部文献信息。
Article Environmental Studies

A novel decomposition integration model for power coal price forecasting

Siping Wu et al.

Summary: A new decomposition integration model (VADM) is proposed in this paper to predict coal prices by combining variational modal decomposition (VMD), arithmetic optimization algorithm (AOA), deep temporal convolutional network (DeepTCN), and mean impact value algorithm (MIV). The AOA optimization algorithm is used to improve VMD, and the smoothed and linear decomposed subsequences are predicted by DeepTCN. The MIV algorithm is then applied to analyze the impact of different factors. Experimental results show that the VADM model outperforms the benchmark models in terms of stability and accuracy, with significantly reduced forecasting errors.

RESOURCES POLICY (2023)

Article Environmental Studies

Energy security analysis in a geopolitically volatile world: A causal study

Khalid Khan et al.

Summary: This study examines the relationship between geopolitical risk and energy security from 2004 to 2022. The findings show bidirectional causality between geopolitical risk and energy security. Furthermore, the results indicate that geopolitical risk significantly impacts energy security in different sub-samples influenced by economic crisis, conflicts between nations, political instability, and terrorism, leading to energy supply disruptions and increased energy insecurity. On the other hand, the study also reveals that energy security affects geopolitical risk caused by economic instability and political unrest resulting from energy insecurity. The model demonstrates the close interconnection between geopolitical risk and energy security, with direct and indirect effects on each other. Enhancing energy security can be achieved through measures such as energy diversification, investment in clean energy, resilient energy infrastructure, and peaceful conflict resolution.

RESOURCES POLICY (2023)

Article Business, Finance

Modeling volatility and dependence of European carbon and energy prices

Jonathan Berrisch et al.

Summary: We analyze the uncertainty and dependencies of European Emission Allowances (EUA) prices on related energy prices (natural gas, coal, and oil) using a probabilistic multivariate conditional time series model with a VECM-Copula-GARCH structure. The data are normalized with respect to inflation and carbon emissions for proper evaluation. The forecasting performance is evaluated through an extensive rolling-window study, covering eight years out-of-sample, with discussions on time-varying correlations and the impact of the Russian invasion of Ukraine.

FINANCE RESEARCH LETTERS (2023)

Article Green & Sustainable Science & Technology

Power economic dispatch against extreme weather conditions: The price of resilience

Shunbo Lei et al.

Summary: With the increase in extreme weather events caused by climate change, it is crucial to improve the resilience of power systems to prevent large-scale power outages. This study investigates the use of proactive network-constrained economic dispatch (NCED) strategies to enhance the resilience of power grids. The study proposes a defender-attacker-defender NCED model and defines resilience metrics to optimize the strategies. The results demonstrate the effectiveness of the proposed methods in improving power grid resilience.

RENEWABLE & SUSTAINABLE ENERGY REVIEWS (2022)

Article Economics

Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence

Rufei Ma et al.

Summary: The study found that the overall connectedness of European electricity markets is relatively high but can vary significantly during economic and geopolitical events; different frequencies of volatility spillovers show strong heterogeneity, with short-term effects dominating the cross-market volatility spillovers in the European electricity system; an increase in economic policy uncertainty in Europe significantly drives up volatility spillovers in the electricity markets, particularly in the medium- and long-term effects.

ENERGY ECONOMICS (2022)

Article Environmental Studies

Energy markets responds to Covid-19 pandemic

Souhir Amri Amamou et al.

Summary: This paper aims to investigate the sensitivity of the Oil market to different Covid-19 outbreak periods and explore its haven propriety and sensitivity to the study phase. The results reveal that a new pandemic wave announcement leads to a decline in Oil market demand, casting doubt on its safe-haven property. Additionally, it is found that this market responds to the determining factors of the Covid-19 Pandemic, with mortality rate becoming a significant explanatory factor.

RESOURCES POLICY (2022)

Article Business, Finance

Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe

Lu Yang

Summary: This study investigates the information spillover mechanism between the electricity and carbon markets in Europe, focusing on the roles of peak-valley prices and idiosyncratic factors. The findings show that electricity demand plays a crucial role in the idiosyncratic information spillover channel, and the German and Austrian electricity market operators dominate the system, while the carbon market is the net information receiver. The EU-ETS is effective in promoting the integration of the European electricity market and reducing greenhouse gas emissions. The adoption of the clean energy for all Europeans package further contributes to the integration of the European internal electricity markets.

JOURNAL OF COMMODITY MARKETS (2022)

Article Green & Sustainable Science & Technology

Renewable energy proliferation for sustainable development: Role of cross-border electricity trade

Amit Prakash Jha et al.

Summary: This paper examines the strategy of enhancing cross-border electricity trade (CBET) to promote the growth of renewable energy. Through analyzing data, the study finds a clear causal linkage between CBET and renewable energy generation. Additionally, CBET is shown to address issues of intermittency and reliability, while providing a larger market for renewable energy. Therefore, the authors advocate for policy intervention by trading partners to overcome barriers and promote the development of CBET, in order to achieve affordable and sustainable energy.

RENEWABLE ENERGY (2022)

Article Economics

Assessing the relationship between electricity and natural gas prices in European markets in times of distress

M. Jorge Uribe et al.

Summary: This study investigates the transmission of natural gas shocks to electricity prices in 21 European markets under different scenarios of electricity generation. The level of market integration is identified as the main factor underlying national differentiation.

ENERGY POLICY (2022)

Article Environmental Studies

Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model

Ruoyu Chen et al.

Summary: This study explores the dynamic and time-varying connectedness between US stocks, financial sector, oil and gold markets, broad market volatilities, and financial stress. The findings indicate that the traditional determinants of US financial stress are dynamic and the role of monetary injections is significant. Furthermore, gold and oil show diversification potential in portfolios.

RESOURCES POLICY (2022)

Article Green & Sustainable Science & Technology

Investigating the spillovers and connectedness between green finance and renewable energy sources

Eyup Dogan et al.

Summary: This study investigates the relationship between renewable energy and green finance, finding that the connectedness between them is heterogeneous over time and influenced by economic events. Wind energy is identified as the largest transmitter of shocks to green finance. The findings are important for energy policymakers, investors, and environmental policy implementers.

RENEWABLE ENERGY (2022)

Article Business, Finance

Time-varying interactions between geopolitical risks and renewable energy consumption

Yifei Cai et al.

Summary: This study uses a time-varying parameter Bayesian vector autoregressive model to explore the dynamic relationship between geopolitical risk and renewable energy consumption growth. The results show that geopolitical risk has a positive impact on renewable energy consumption, while renewable energy consumption has a negative impact on geopolitical risk. These findings suggest that renewable energy can be a useful tool in reducing geopolitical risks.

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE (2021)

Article Environmental Sciences

Energy market uncertainty and the impact on the crude oil prices

Bing Xu et al.

Summary: The paper introduces a new measure of global energy market uncertainty and analyzes its impact on oil prices using a FAVAR model. The results indicate that real oil prices exhibit a strong response to the proposed aggregate energy market uncertainty shocks, especially under scenarios of unexpected strong demand for alternative energy sources.

JOURNAL OF ENVIRONMENTAL MANAGEMENT (2021)

Article Environmental Studies

Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach

Mehmet Balcilar et al.

Summary: The study reveals a dynamic connectedness between agricultural commodity and Crude Oil futures prices, driven by economic events with peaks during crises. Specifically, Crude Oil, Grains, Livestock, Sugar, and Soybean Oil act as main net transmitters of shocks, while Corn, Lean Hogs, Soybeans, Cattle, and Wheat are the main receivers of shocks.

RESOURCES POLICY (2021)

Article Economics

EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness

Ioannis Chatziantoniou et al.

Summary: This study uses dynamic connectedness as a measure of financial risk synchronization in 11 EMU member states. The findings suggest that there was fragmentation during the European sovereign debt crisis, with core countries transmitting shocks to peripheral countries. Further integration is called for to address disparities and strengthen financial ties.

QUARTERLY REVIEW OF ECONOMICS AND FINANCE (2021)

Article Economics

Time-frequency connectedness between Asian electricity sectors

Mudassar Hasan et al.

Summary: This study explores the connectedness of the electricity sector in Asian countries, finding strong connections among them, especially in the short run. The time-varying analysis reveals the dynamic nature of connectedness and the significant impact of important events. Market-wide uncertainty during turbulent times increases the connectedness between electricity sectors, particularly in the short run and during the pandemic crisis period.

ECONOMIC ANALYSIS AND POLICY (2021)

Article Economics

Electricity pricing using a periodic GARCH model with conditional skewness and kurtosis components

Filippos Ioannidis et al.

Summary: This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and skewness price components and the development of a risk neutral forecasting equation for electricity prices.

ENERGY ECONOMICS (2021)

Article Economics

Energy Systems Integration: Implications for public policy

Carlo Cambini et al.

ENERGY POLICY (2020)

Article Thermodynamics

Characterizing electricity market integration in Nord Pool

Jorge M. Uribe et al.

ENERGY (2020)

Article Economics

Volatility spillovers in Australian electricity markets

Lin Han et al.

ENERGY ECONOMICS (2020)

Article Economics

Dynamic frequency connectedness between oil and natural gas volatilities

Yuliya Lovcha et al.

ECONOMIC MODELLING (2020)

Article Economics

Integration and convergence in European electricity markets

Davide Ciferri et al.

ECONOMIA POLITICA (2020)

Article Business, Finance

Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions

Nikolaos Antonakakis et al.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2020)

Article Economics

Volatility Spillovers in Energy Markets

Helena Chulia et al.

ENERGY JOURNAL (2019)

Article Physics, Multidisciplinary

Measuring the connectedness of European electricity markets using the network topology of variance decompositions

Singing Xiao et al.

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS (2019)

Article Thermodynamics

The increasing impact of weather on electricity supply and demand

Iain Staffell et al.

ENERGY (2018)

Article Economics

Electricity market integration and the impact of unilateral policy reforms

Luigi Grossi et al.

OXFORD ECONOMIC PAPERS-NEW SERIES (2018)

Article Economics

The benefits of integrating European electricity markets

David Newbery et al.

ENERGY POLICY (2016)

Article Economics

Volatility in electricity derivative markets: The Samuelson effect revisited

Edouard Jaeck et al.

ENERGY ECONOMICS (2016)

Article Energy & Fuels

The EU internal electricity market: Done forever?

Jean-Michel Glachant et al.

UTILITIES POLICY (2014)

Article Economics

Modeling the daily electricity price volatility with realized measures

Michael Frommel et al.

ENERGY ECONOMICS (2014)

Article Economics

The impact of wind power generation on the electricity price in Germany

Janina C. Ketterer

ENERGY ECONOMICS (2014)

Article Economics

Better to give than to receive: Predictive directional measurement of volatility spillovers

Francis X. Diebold et al.

INTERNATIONAL JOURNAL OF FORECASTING (2012)

Article Economics

LONG-RUN RELATIONS IN EUROPEAN ELECTRICITY PRICES

Bruno Bosco et al.

JOURNAL OF APPLIED ECONOMETRICS (2010)

Article Economics

Electricity wholesale market prices in Europe: Convergence?

Georg Zachmann

ENERGY ECONOMICS (2008)

Article Business, Finance

Range-based estimation of stochastic volatility models

S Alizadeh et al.

JOURNAL OF FINANCE (2002)