globalchange  > 气候变化与战略
DOI: 10.1016/j.enpol.2019.111091
论文题名:
Uncertainty in electricity markets from a semi-nonparametric approach
作者: Trespalacios A.; Cortés L.M.; Perote J.
刊名: Energy Policy
ISSN: 03014215
出版年: 2020
卷: 137
语种: 英语
中文关键词: Electricity markets ; Risk management ; Semi-nonparametric modeling
英文关键词: 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
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
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资源类型: 期刊论文
标识符: http://119.78.100.158/handle/2HF3EXSE/167531
Appears in Collections:气候变化与战略

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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

Recommended Citation:
Trespalacios A.,Cortés L.M.,Perote J.. Uncertainty in electricity markets from a semi-nonparametric approach[J]. Energy Policy,2020-01-01,137
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