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Angelica GIANFREDA

Ricercatore t.d. art. 24 c. 3 lett. B presso: Dipartimento di Economia "Marco Biagi"


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Pubblicazioni

2020 - Comparing the forecasting performances of linear models for electricity prices with high RES penetration [Articolo su rivista]
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca
abstract


2020 - Trends and long-run relations in cointegrated time series observed with noise [Relazione in Atti di Convegno]
Gianfreda, Angelica; Maranzano, Paolo; Parisio, Lucia; Pelagatti, Matteo
abstract

Classic tests for stationarity of time series and of cointegration may fail when data are observed with dominant noise. We show that results of standard ADF are biased towards more stationarity, while the Johansen’s test cointegration test may produce unreliable results and generate false long-run signals. We show that data filtering improves the performance of standard tests and so it should become a good practice when dealing with very noisy datasets. We prove the effectiveness of different filtering strategies using simulated series.


2019 - Economics of Sustainable and Renewable Energy Systems [Altro]
Gianfreda, A.; Weron, R.
abstract

As the European Commission emphasizes, the world—and Europe in particular—needs to step up its investment in energy efficiency and renewable technologies, and the development of clean energy business models, embracing new opportunities and consumer empowerment brought about by digitization. However, the transition to a low-carbon and sustainable economy, e.g., by shifting generation to renewable energy-sources (RES), introducing demand-response (DR) programs, and enabling technologies, is a difficult and costly process. Due to the intermittent and unpredictable nature of wind and solar power, a massive introduction of RES can affect prices paid to procure balancing resources and, consequently, the costs charged to end users. On the demand side, the transition involves not only technologies but also policies, user practices, information sharing, and a behavioral change among electricity consumers. This Special Issue, therefore, seeks to contribute to the literature through cutting-edge and multi-disciplinary research that addresses the (socio-)economics of sustainable and renewable energy-systems. We invite papers on innovative scientific developments, sound case studies, as well as reviews.


2019 - The RES-Induced Switching Effect Across Fossil Fuels: An Analysis of Day-Ahead and Balancing Prices [Articolo su rivista]
Gianfreda, Angelica; Lucia, Parisio; Matteo, Pelagatti
abstract

The empirical literature on electricity markets has highlighted a strong cointegrating relationship governing the dynamics of electricity and fuel prices. More recently the massive introduction of RES in electricity generation, fostered by generous supporting schemes, has influenced the shape and position of the supply function and consequently the equilibrium prices. We believe that the new competitive scenario may have influenced the fuel-electricity nexus with a different impact in day-ahead and balancing markets. Empirical evidence of the evolving fuels-electricity nexus is shown looking at one Italian zone across two samples characterized by a significant change in the level of RES penetration. We conduct the analysis taking into account both day-ahead and, for the first time, balancing market sessions. Results indicate that fuel prices are much less relevant in determining the dynamics of electricity prices in recent years characterized by high RES penetration. On the contrary, taking into account flexible thermal sources, we show that in the second sample balancing and fuel prices (especially gas) are in a long run equilibrium.


2018 - A Stochastic Latent Moment Model for Electricity Price Formation [Articolo su rivista]
Gianfreda, Angelica; Bunn, Derek
abstract

The wide range of models needed to support the various short-term operations for electricity generation demonstrates the importance of accurate specifications for the uncertainty in market prices. This is becoming increasingly challenging, since electricity hourly price densities exhibit a variety of shapes, with their characteristic features changing substantially within the day and over time, and the influx of renewable power, wind and solar in particular, has amplified these effects. A general-purpose, analytically tractable representation of the stochastic price formation process would have considerable value for operations control and trading, but existing empirical approaches for the application of standard density functions are unsatisfactory. We develop a general four parameter stochastic model for hourly prices, in which the four moments of the density function are dynamically estimated as latent state variables and furthermore modelled as functions of several plausible exogenous drivers. This provides a transparent and credible model that is suffciently flexible to capture the shape-shifting effects, particularly with respect to the wind and solar output variations causing dynamic switches in the upside and downside risks. Extensive testing on German wholesale price data, benchmarked against quantile regression and other models in out-of-sample backtesting, validated the approach and its analytical appeal.


2018 - A Trading-Based Evaluation of Density Forecasts in a Real-Time Electricity Market [Articolo su rivista]
Bunn, Derek W.; Gianfreda, Angelica; Kermer, Stefan
abstract

This paper applies a multi-factor, stochastic latent moment model to predicting the imbalance volumes in the Austrian zone of the German/Austrian electricity market. This provides a density forecast whose shape is determined by the flexible skew-t distribution, the first three moments of which are estimated as linear functions of lagged imbalance and forecast errors for load, wind and solar production. The evaluation of this density predictor is compared to an expected value obtained from OLS regression model, using the same regressors, through an out-of-sample backtest of a flexible generator seeking to optimize its imbalance positions on the intraday market. This research contributes to forecasting methodology and imbalance prediction, and most significantly it provides a case study in the evaluation of density forecasts through decision-making performance. The main finding is that the use of the density forecasts substantially increased trading profitability and reduced risk compared to the more conventional use of mean value regressions.


2018 - A review of balancing costs in Italy before and after RES introduction [Articolo su rivista]
Gianfreda, Angelica; Parisio, Lucia; Pelagatti, Matteo
abstract

The massive introduction of RES in electricity markets is recognized to have induced a merit order effect on wholesale prices. While day-ahead prices are likely to decline as RES-E production increases, the effects on balancing market sessions are more ambiguous. Taking into account the Northern Italian zone characterized by a high solar PV and hydro penetration, we provide empirical evidence that balancing quantities decreased while costs increased between two samples associated with low (2006–08) and high (2013–15) RES levels. We estimate balancing costs for different technologies and compare their dynamics across specific hours. We find evidence of increasing balancing prices in particular market conditions, that we interpret as a signal of strategic use of real time sessions by conventional producers prone to the merit order effect in the day-ahead market. We compare our results to those obtained in the German market (where, on the contrary, balancing costs have decreased) and postulate that the different market designs may explain these results. Our findings suggest that the Italian policy makers should carefully monitor all trading sessions, especially those close to real time, to avoid the exercise of market power by few operators allowed to guarantee system security and, additionally, to promptly adopt a capacity market.


2018 - Measuring model risk in the European energy exchange [Capitolo/Saggio]
Gianfreda, A.; Scandolo, G.
abstract

It has been shown that model risk has an important effect on any risk measurement procedures, hence its proper quantification is becoming crucial especially in energy markets, where market participants face several kinds of risks (such as volumetric, liquidity, and operational risk). Therefore, relaxing the assumption of normality and using a wide range of alternative distributions, we quantify the model risk in the German wholesale electricity market (the European Energy Exchange, EEX) by studying day–ahead electricity prices from 2001 to 2013 using the well-established setting of GARCH–type models. Taking advantage of this long price history, we investigate the “time evolution” of the measured model risk across years by adopting a rolling window procedure. Our results confirm that the increasing complexity of energy markets has affected the stochastic nature of electricity prices which have become progressively less normal through years, hence resulting in an increased model risk.


2016 - Revisiting long-run relations in power markets with high RES penetration [Articolo su rivista]
Gianfreda, A.; Parisio, L.; Pelagatti, M.
abstract

Electricity generation from renewable energy resources (RES) has become increasingly significant to reach EU and emissions reduction targets. At the same time, one of the main EU policy goals has been the creation of a common internal energy market for Europe. In this paper, we focus on these two issues previously studied separately, considering their possible interactions. We first analyze the long-run relationship between day-ahead electricity prices and fuel prices (natural gas and coal) looking at two samples of years characterized by low and high RES penetration, then we explore the integration of EU markets. We show that the electricity–fuel nexus found over 2006–2008 changed dramatically over 2010–2014 for the majority of countries considered. In particular, the long-run dependence of electricity from gas and coal prices is much lower in recent years. Furthermore, our results confirm that the considered EU countries are becoming less integrated as RES-E increases. Our findings suggest that nationally implemented policies to support renewables are successful in increasing RES penetration, but they have lessened the linkage among EU markets, then making integration more difficult to obtain.


2016 - The Impact of RES in the Italian Day-Ahead and Balancing Markets [Articolo su rivista]
Gianfreda, Angelica; Lucia, Parisio; Matteo, Pelagatti
abstract

We empirically investigate the effect of RES generation on the Italian spot and regulation prices by examining price dynamics from 2012 to 2014 in day-ahead, intra-daily and balancing market sessions. Intra-day sessions are particularly valuable for intermittent generators willing to adjust their production programs as better weather forecasts become available. We model the relationships among spot, adjustment and regulation prices and provide empirical evidence that the intra-daily sessions are well-functioning and low-cost market tools to ease the introduction of a high share of RES. Conventional production units may bid on all market sessions but we estimate high and significant premia of readiness earned on real-time sessions. Further, we evaluate the relationship among price differences, observed between regulation and spot markets and the amount of wind, solar, hydro, and geothermal production in all Italian zones, generally finding a positive and significant effect on premia.


2013 - Quantitative analysis of energy markets [Articolo su rivista]
Gianfreda, A.; Grossi, L.
abstract


2012 - Forecasting Italian electricity zonal prices with exogenous variables [Articolo su rivista]
Gianfreda, A.; Grossi, L.
abstract

In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been deregulated recently. Therefore, this contribution is an investigation with emphasis on price dynamics accounting for technologies, market concentration, congestions and volumes. We aim to understand how these four variables affect zonal prices since these ones combine to bring about the single national price (prezzo unico d'acquisto, PUN). Hence, understanding its features is important for drawing policy indications referred to production planning and selection of generation sources, pricing and risk-hedging problems, monitoring of market power positions and finally to motivate investment strategies in new power plants and grid interconnections. Implementing Reg-ARFIMA-GARCH models, we assess the forecasting performance of selected models showing that they perform better when these factors are considered. © 2012 Elsevier B.V.


2010 - Integration and shock transmissions across European electricity forward markets [Articolo su rivista]
Bunn, D. W.; Gianfreda, A.
abstract

New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day-ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying inefficiency in each market with respect to the forward and spot price convergence. The spatial analysis, on a financial dimension, is undertaken using causality tests, cointegration and impulse-response techniques, for both price levels and volatilities. In general we find less influence of the size and proximity of neighbouring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices. © 2009 Elsevier B.V. All rights reserved.


2010 - Volatility and Volume Effects in European Electricity Spot Markets [Articolo su rivista]
Gianfreda, A.
abstract

This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market. © 2010 The Authors Economic Notes © 2010 Banca Monte dei Paschi di Siena SpA.