气候变化领域集成服务门户(CCPortal): Uncertainty in electricity markets from a semi-nonparametric approach

CCPortal

DOI	10.1016/j.enpol.2019.111091
	Uncertainty in electricity markets from a semi-nonparametric approach
	Trespalacios A.; Cortés L.M.; Perote J.
发表日期	2020
ISSN	0301-4215
卷号	137
英文摘要	This paper introduces a semi-nonparametric (SNP) methodology for the modeling of skewness, leptokurtosis and high-order moments in electricity markets. We highlight the importance of accurately measuring these features in many contexts (e.g. design of power plants with different technologies, fuel prices, and energy demand) and the need for using flexible non-normal densities. We show that the SNP approach describes the uncertainty in an electricity markets, reducing the limitations that normality and parametric density functions impose. Our application covers a wide variety of Colombian electricity variables, including spot price, national energy demand, the climate index ONI, and the series of hydrologic inflows for different rivers. For such variables we find that the SNP outperforms the normal distribution in terms of accuracy measures based on maximum likelihood estimation. As a result, our methodology has direct applications for risk analysis and portfolio choice related to electricity markets and for implementing policies on electricity markets that improve efficiency and sustainability. © 2019 Elsevier Ltd
英文关键词	Electricity markets; Risk management; Semi-nonparametric modeling
语种	英语
scopus关键词	Commerce; Energy management; Maximum likelihood estimation; Normal distribution; Risk analysis; Risk assessment; Risk management; Accuracy measures; Climate index; Energy demands; High-order moments; Non-parametric; Non-parametric model; Nonparametric approaches; Portfolio choice; Power markets; accuracy assessment; demand-side management; economic analysis; electricity supply; energy market; policy implementation; risk assessment; uncertainty analysis; Colombia
来源期刊	Energy policy
文献类型	期刊论文
条目标识符	http://gcip.llas.ac.cn/handle/2XKMVOVA/124947
作者单位	Department of Finance, Faculty of Economic and Administrative Sciences, Instituto Tecnologico Metropolitano, ITM, Calle 54A No 30-01, Medellin, Colombia; Department of Finance, School of Economics and Finance, Universidad EAFIT, Carrera 49 No 7 Sur-50, Medellin, Colombia; Department of Economics and IME, University of Salamanca, Campus Miguel de Unamuno, Salamanca, 37007, Spain
推荐引用方式 GB/T 7714	Trespalacios A.,Cortés L.M.,Perote J.. Uncertainty in electricity markets from a semi-nonparametric approach[J],2020,137.
APA	Trespalacios A.,Cortés L.M.,&Perote J..(2020).Uncertainty in electricity markets from a semi-nonparametric approach.Energy policy,137.
MLA	Trespalacios A.,et al."Uncertainty in electricity markets from a semi-nonparametric approach".Energy policy 137(2020).