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A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources

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Listed:
  • Fabrizio Durante
  • Angelica Gianfreda
  • Francesco Ravazzolo
  • Luca Rossini

Abstract

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

Suggested Citation

  • Fabrizio Durante & Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2022. "A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources," Papers 2201.01132, arXiv.org.
    • Handle: RePEc:arx:papers:2201.01132
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    References listed on IDEAS

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    Cited by:

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    2. Huang, Siwan & Shi, Jianheng & Wang, Baoyue & An, Na & Li, Li & Hou, Xuebing & Wang, Chunsen & Zhang, Xiandong & Wang, Kai & Li, Huilin & Zhang, Sui & Zhong, Ming, 2024. "A hybrid framework for day-ahead electricity spot-price forecasting: A case study in China," Applied Energy, Elsevier, vol. 373(C).
    3. Knorr, Lukas & Schlosser, Florian & Horstmann, Nils & Divkovic, Denis & Meschede, Henning, 2024. "Flexible operation and integration of high-temperature heat pumps using large temperature glides," Applied Energy, Elsevier, vol. 368(C).
    4. Yang, Yifan & Guo, Ju’e & Li, Yi & Zhou, Jiandong, 2024. "Forecasting day-ahead electricity prices with spatial dependence," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1255-1270.
    5. Ana Rita Silva & Ana Estanqueiro, 2022. "From Wind to Hybrid: A Contribution to the Optimal Design of Utility-Scale Hybrid Power Plants," Energies, MDPI, vol. 15(7), pages 1-19, April.

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