Unit:
Κατεύθυνση Διαχείριση Κεφαλαίων και ΚινδύνωνLibrary of the Faculty of Economics and of the Faculty of Business Administration
Author:
Pierrou Evdokia Christina
Supervisors info:
Κατεβάτης Αθανάσιος, Συνεργάτης-Υποψήφιος Διδάκτωρ, Τμήμα Οικονομικών Επιστημών, Εθνικό και Καποδιστριακό Πανεπιστήμιο Αθηνών
Original Title:
Investigating the dependence between wind power production and electricity spot price for wind onshore farms in the Italian market
Translated title:
Investigating the dependence between wind power production and electricity spot price for wind onshore farms in the Italian market
Summary:
In this thesis, the negative dependence between the electricity spot price and the wind onshore power production is examined regarding the Italian market. The mathematical models ARMA-GARCH and LINEAR-GARCH models and Pearson correlation metric are used to examine the dependence. The GARCH model is used to explore the variability of the model errors’ variance. Despite the fact that the model development is conducted in a time-period contained the Covid-19 pandemic and Ukraine war, meaning that the spot price time series consists of many extreme events, the negative dependence exists. The model development is used to prove the existence of the negative dependence, rather than for forecasting reasons, since the extreme events of the spot price time series cannot be modeled easily.
Main subject category:
Social, Political and Economic sciences
Keywords:
spot electricity price, wind power production, Linear - Garch model, negative dependence
