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arXiv · 2201.01132

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

Fabrizio Durante·Angelica Gianfreda·Francesco Ravazzolo·Luca Rossini
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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

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Fabrizio Durante, Angelica Gianfreda, Francesco Ravazzolo, Luca Rossini. 2022-01-04. A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources. https://arxiv.org/abs/2201.01132

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