A General Maximum Entropy Econometric approach to model industrial electricity prices in Spain: A challenge for the competitiveness

Moreno, Blanca; García-Álvarez, María Teresa; Ramos, Carmen Viana; Vázquez, Esteban Fernández

doi:10.1016/j.apenergy.2014.04.060

Cited by 38 publications

(12 citation statements)

References 30 publications

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“…Energy efficiency, in the theme of sustainable corporate behavior, is seen as a lever for global competitiveness in the future [10][11][12]. Manufacturing accounts for 37% of primary energy use worldwide [13], and for 40% of electricity consumption in Europe [14].…”

Section: Introductionmentioning

confidence: 99%

Energy management in production: A novel method to develop key performance indicators for improving energy efficiency

et al. 2015

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Measuring energy efficiency performance of equipments, processes and factories is the first step to effective energy management in production. Thus, enabled energy-related information allows the assessment of the progress of manufacturing companies toward their energy efficiency goals. In that respect, the study addresses this challenge where current industrial approaches lack the means and appropriate performance indicators to compare energy-use profiles of machines and processes, and for the comparison of their energy efficiency performance to that of competitors’. Focusing on this challenge, the main objective of the paper is to present a method which supports manufacturing companies in the development of energy-based performance indicators. For this purpose, we provide a 7-step method to develop production-tailored and energy-related key performance indicators (e-KPIs). These indicators allow the interpretation of cause-effect relationships and therefore support companies in their operative decision-making process. Consequently, the proposed method supports the identification of weaknesses and areas for energy efficiency improvements related to the management of production and operations. The study therefore aims to strengthen the theoretical base necessary to support energy-based decision making in manufacturing industries

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Section: Introductionmentioning

confidence: 99%

Energy management in production: A novel method to develop key performance indicators for improving energy efficiency

et al. 2015

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“…The form of Eq. (22) is known as the Shannon-Weiner Index [37,39,40]. Several researchers used the Shannon´s entropy index in the portfolio optimization task mainly considering the multiobjective approach [32][33][34].…”

Section: Entropymentioning

confidence: 99%

Multiobjective portfolio optimization of ARMA–GARCH time series based on experimental designs

Mendes

Paiva

Peruchi

et al. 2016

Computers & Operations Research

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The modern portfolio theory has been trying to determine how an investor might allocate assets among the possible investments options. Since the seminal contribution provided by Harry Markowitz's theory of portfolio selection, several other tools and procedures have been proposed to deal with return-risk trade-off. Furthermore, diversification across sources of returns and risks based on entropy indexes is another pivotal aspect in portfolio management. An efficient approach to model these portfolio properties with the proportion of each asset can be obtained according to mixture design of experiments. Desirability method can be applied to optimize this nonlinear multiobjective problem.Nevertheless, a tuning procedure is required, since preference articulation parameters in desirability algorithm are unknown a priori. As a result, a computer-aided desirability tuning method is proposed to find an optimal portfolio with time series of returns and risks modeled by ARMA-GARCH models.To assess the proposal feasibility, the method is tested with a heteroskedastic dataset formed by weekly world crude oil spot prices and returns. Computer-aided desirability tuning was able to enhance the global desirability by 79% in relation to the result with no tuning procedure.

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“…In contrast, the firm with more positive EUA effect is the RES- 7 For example, the practice of marginal cost pricing in power generation implies that fuel prices and EUA prices play a fundamental role in the electricity price formation process through wholesale markets (see Silva (2013, 2015) for the Iberian case) and thus final electricity prices for consumers (see Moreno et al (2014) and Moreno and García-Álvarez (2013) for the Spanish case).…”

Section: Tablementioning

confidence: 99%

Firm-specific impacts of CO2 prices on the stock market value of the Spanish power industry

2016

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EU ETS impacts on stock market returns of Spanish power sector. Long-run positive effect of EU ETS on market returns is found only in Phase II. No short-run effects were found. EUA price effect is company-specific. a r t i c l e i n f o b s t r a c tEuropean Union carbon emissions allowances (EUA) price fluctuations can affect electricity companies' stock market values as these oscillations may change firms' profitability and thus investors' decisions. This outcome can differ not only contingent on the EU ETS Phase, but also on firms' generation mix. Moreover, stock markets may react differently to EUA increases in comparison to decreases, thus asymmetrically.By using daily data from January 2008 to July 2014, this article analyses long-run equilibrium relations and short-run interactions between the aggregated electricity industry stock market returns and EUA price changes. Moreover, we test if the relationship between EUA price variations and electricity stock returns is asymmetric and if the carbon price effect and the asymmetry are power firm-specific.Adding to earlier studies, we initially provide an inspection of the individual impact of EU ETS Phase II and on-going Phase III; followed by a comparative analysis between power firms which core activity relies on renewable energy sources and those whose sources are fundamentally non-renewable ones.A statistically significant positive long-run impact of EU ETS on the aggregated power sector stock market return is found concerning Phase II and works asymmetrically. Moreover, evidence is provided demonstrating that asymmetry and EUA effects are power firm-specific.

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A General Maximum Entropy Econometric approach to model industrial electricity prices in Spain: A challenge for the competitiveness

Cited by 38 publications

References 30 publications

Energy management in production: A novel method to develop key performance indicators for improving energy efficiency

Energy management in production: A novel method to develop key performance indicators for improving energy efficiency

Multiobjective portfolio optimization of ARMA–GARCH time series based on experimental designs

Firm-specific impacts of CO2 prices on the stock market value of the Spanish power industry

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