English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

Intraday electricity markets play an increasingly important role in balancingthe intermittent generation of renewable energy resources, which creates a needfor accurate probabilistic price forecasts. However, research to date hasfocused on univariate approaches, while in many European intraday electricitymarkets all delivery periods are traded in parallel. Thus, the dependencystructure between different traded products and the corresponding cross-producteffects cannot be ignored. We aim to fill this gap in the literature by usingcopulas to model the high-dimensional intraday price return vector. We modelthe marginal distribution as a zero-inflated Johnson's $S_U$ distribution withlocation, scale and shape parameters that depend on market and fundamentaldata. The dependence structure is modelled using latent beta regression toaccount for the particular market structure of the intraday electricity market,such as overlapping but independent trading sessions for different deliverydays. We allow the dependence parameter to be time-varying. We validate ourapproach in a simulation study for the German intraday electricity market andfind that modelling the dependence structure improves the forecastingperformance. Additionally, we shed light on the impact of the single intradaycoupling (SIDC) on the trading activity and price distribution and interpretour results in light of the market efficiency hypothesis. The approach isdirectly applicable to other European electricity markets.

Multivariate Simulation-based Forecasting for Intraday Power Markets: Modelling Cross-Product Price Effects