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.

A multivariate dependence analysis for electricity prices, demand and renewable energy sources / F. Durante, A. Gianfreda, F. Ravazzolo, L. Rossini. - In: INFORMATION SCIENCES. - ISSN 0020-0255. - 590:(2022), pp. 74-89. [10.1016/j.ins.2022.01.003]

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

L. Rossini
2022

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.
Copula; Electricity; Kendall distribution; Solar and wind power; Tail dependence
Settore SECS-S/01 - Statistica
Settore SECS-P/05 - Econometria
Settore SECS-S/03 - Statistica Economica
2022
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/900259
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