Dottorato in Economia e Management (ultimo ciclo attivato 36° - a.a. 2020-2021)

Purpose of the course
Energy Markets analysis could be carried out from different perspectives. The main idea behind this course would be to focus on the economics of energy markets and on related quantitative models based on linear and nonlinear processes for measuring and forecasting volumes and prices. The focus of the course will be on electricity markets, although reference will also be made to natural gas markets.
Some recent developments about the introduction of renewable sources on the electricity grid and to the economic feasibility of electricity storage will conclude the course.
The main goal of the course will be to illustrate methods and approaches with detailed examples using real data and to provide PhD students with a set of economic models and econometric-statistical tools to perform reliable and original analyses.

Prerequisites
PhD students should be familiar with basic notions of time series analysis and stochastic processes in discrete time and with elementary notions of industrial economics.
Basic knowledge from statistics and econometrics plus rudimentary experiences with data and numerical calculations will be helpful. Quantitative analysis will be performed by the freeware software R (http://cran.r-project.org/).

Programma

Table of Content

1. Stylized facts of electricity prices
Price spikes: what determines spikes. Case studies.
Seasonality: determinants. Autocorrelation structure and frequency domain analysis.
Seasonal decomposition: moving average technique, spectral decomposition, rolling volatility technique.
Mean reversion: detrended fluctuation analysis, periodogram regression
Volatility clustering and leverage effect

2. Modelling electricity loads and prices
Factors affecting load patterns (demand side): time factors and weathers conditions. Analysis of weather variables.
Factors affecting prices (supply side): generation factors. The impact of renewables electricity sources.
ARIMA-type models
Regression models with exogenous regressors
GARCH models
Switching models

3. Forecasting and evaluation of forecasting performances
Forecasting loads and prices: selection of the best model
Assessing forecasting performances of alternative models: MAPE, MPE, Theil’s index, Diebold and Mariano test.
The rolling windows technique
Case studies

4. Further topics
Energy storage: the case of gas and electricity
Robust methods for energy prices and loads: implications on forecasting performances
Shift-share analysis of energy demand

Textbooks

For the statistical and econometric analysis of time series we recommend:
Hamilton J.D. (1994), "Time Series Analysis", Princeton University Press.

and for the statistical analysis of electricity markets
Bunn D.(Ed.) 2004, “Modelling Prices in Competitive Electricity Markets”, Wiley.

As main reference book for the course:
Weron R., (2006), "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach", Wiley.

Testi di riferimento
Autore	Titolo	Casa editrice	Anno	ISBN	Note
Rafal Weron	Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach	Wiley, Chichester + CD-ROM	2006

Modalità d'esame

Project Work

Le/gli studentesse/studenti con disabilità o disturbi specifici di apprendimento (DSA), che intendano richiedere l'adattamento della prova d'esame, devono seguire le indicazioni riportate QUI

Attività Formative della Scuola di Dottorato - 2020/2021

Offerta formativa della Scuola di Dottorato da definire

Docenti

A B C D F G H I L M N P Q R S T V Z

Andreoli Francesco

francesco.andreoli@univr.it

045 802 8102

Ballottari Matteo

matteo.ballottari@univr.it

045 802 7823

Begalli Diego

diego.begalli@univr.it

045 8028731

Bertini Giuseppe

giuseppe.bertini@univr.it

045-802-7682

Birkett Mary Elizabeth

mary.birkett@univr.it

0458028706

Bracco Emanuele

emanuele.bracco@univr.it

045 802 8293

Brezis Elise

Bucciol Alessandro

alessandro.bucciol@univr.it

045 802 8278

Calafà Laura

laura.calafa@univr.it

+39 045 8425337

Campolmi Alessia

alessia.campolmi@univr.it

045 802 8071

Cannon Edmund

Capiluppi Marta

marta.capiluppi@univr.it

+39 045 802 7049

Cavalieri Silvia

silvia.cavalieri@univr.it

Cavallini Erika

erika.cavallini@univr.it

+39 045 8028642

Cipriani Giam Pietro

giampietro.cipriani@univr.it

045 802 8271

Cont Rama

Cordiano Alessandra

alessandra.cordiano@univr.it

+39 045 8425341

Cuchiero Christa

Demo Edoardo

edoardo.demo@univr.it

045 802 8782 (VR) 0444.393930 (VI)

De Sinopoli Francesco

francesco.desinopoli@univr.it

045 842 5450

Fioroni Tamara

tamara.fioroni@univr.it

Frisan Erika Hilde

erikahilde.frisan@univr.it

0458028773

Gaudenzi Barbara

barbara.gaudenzi@univr.it

045 802 8623

Gnoatto Alessandro

alessandro.gnoatto@univr.it

045 802 8537

Grisi Daniela

daniela.grisi@univr.it

+39 0458028449

Grossi Luigi

luigi.grossi@univr.it

045 802 8247

Hartle Sharon

sharon.hartle@univr.it

+39 045802 8259

Imbruno Michele

michele.imbruno@univr.it

Lai Alessandro

alessandro.lai@univr.it

045 802 8574

Levati Maria Vittoria

vittoria.levati@univr.it

045 802 8640

Lorenzi Alessio

alessio.lorenzi@univr.it

+39 045 802 8028

Lubian Diego

diego.lubian@univr.it

045 802 8419

Mancini Cecilia

cecilia.mancini@univr.it

Manzoni Elena

elena.manzoni@univr.it

8783

Marchetti Pierpaolo

pierpaolo.marchetti@univr.it

+039 0458027270

Marzio Massimo

0458028706

Menon Martina

martina.menon@univr.it

Minozzo Marco

marco.minozzo@univr.it

045 802 8234

Nicodemo Catia

catia.nicodemo@univr.it

+39 045 8028340

Nidasio Claudio

claudio.nidasio@univr.it

+39 045 802 8573

Pellegrini Letizia

letizia.pellegrini@univr.it

045 802 8345

Perali Federico

federico.perali@univr.it

045 802 8486

Peretti Alberto

alberto.peretti@univr.it

0444 393936 (VI) 045 802 8238 (VR)

Pertile Paolo

paolo.pertile@univr.it

045 802 8438

Picarelli Athena

athena.picarelli@univr.it

045 8028242

Picotti Lorenzo

lorenzo.picotti@univr.it

+39 045 8425361

Piovesan Marco

marco.piovesan@univr.it

045.80.28.104

Ponda Manuela Pola

0458028706

Protopapa Venera

venera.protopapa@univr.it

0458425383

Quercia Simone

simone.quercia@univr.it

045 802 8237

Renna Dora

dora.renna@univr.it

Renò Roberto

roberto.reno@univr.it

045 802 8526

Ricciuti Roberto

roberto.ricciuti@univr.it

0458028417

Rimondini Michela

michela.rimondini@univr.it

0458126412

Rossi Francesca

francesca.rossi_02@univr.it

045 802 8098

Rossignoli Cecilia

cecilia.rossignoli@univr.it

045 802 8173

Santi Flavio

flavio.santi@univr.it

045 802 8239

Savoia Antonio

Scarpa Riccardo

riccardo.scarpa@univr.it

Scricciolo Catia

catia.scricciolo@univr.it

045 8028341

Sommacal Alessandro

alessandro.sommacal@univr.it

045 802 8716

Stacchezzini Riccardo

riccardo.stacchezzini@univr.it

0458028186

Svaluto Ferro Sara

sara.svalutoferro@univr.it

045 8028783

Taschini Luca

Tsutsui Kei

Verlato Giuseppe

giuseppe.verlato@univr.it

045 8027628

Veronesi Marcella

marcella.veronesi@univr.it

Zago Angelo

angelo.zago@univr.it

045 802 8414

Zarri Luca

luca.zarri@univr.it

045 802 8101

Zoli Claudio

claudio.zoli@univr.it

045 802 8479

Dottorandi

Dottorandi presenti nel:

Jobe Amie M.

amiem.jobe@univr.it

Opoku Enock Desmond

enockdesmond.opoku@univr.it

Xamo Andrea

andrea.xamo@univr.it

Lezioni del Corso

Lezioni della Scuola di Dottorato

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