Modeling and Forecasting Wholesale Electricity Prices under Consideration of Wind and Solar Power (English shop)

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The German electricity market is undergoing fundamental change due to the increasing share of electricity generation from renewable energies. Of central importance is the merit order effect, which describes the displacement of conventional electricity generation and the associated price-reducing effects. In this context, the present work analyses fundamental price relationships in the wholesale market, taking into account electricity generation from wind and photovoltaics. This is done, on the one hand, by means of panel data models and, on the other hand, short-term forecasts are produced using time series models. The following core questions of the work are addressed: What is the current state of scientific research in the field of time series analysis on wholesale electricity markets? Which time series models exhibit the best forecasting quality? And: What price effects does electricity generation from renewable energies have? These questions are answered through extensive literature analyses and empirical studies.