in this paper, we investigate the performance of parametric arch class models to forecast out-of-sample var for two portfolios of tehran stock exchange (tse) companies (market portfolio and a portfolio of 50 liquid companies), using a number of distributional assumptions and sample sizes at low and high confidence levels. we find, first, that leptokurtic distributions are able to produce better...

The emergence of Electricity Spot Market makes it possible that distributed electric heating equipment connect with the grid and participate in market competition as well. However, due to functional limits, is impossible for power supply side have a thorough understanding specific conditions load characteristics user, user will not take global consideration real-time security stability grid. Th...

In this paper, we propose a two-stage electricity market framework to explore the participation of distributed energy resources (DERs) in day-ahead (DA) and real-time (RT) market. The objective is determine optimal bidding strategies aggregated DERs DA generate online incentive signals for DER-owners optimize social-welfare taking into account network operational constraints. Distributionally r...

In the face of extreme events, e.g., hurricanes, transmission systems, especially lines, are affected across time and space. To mitigate these impacts on day-ahead market from a probabilistic perspective, resilient unit commitment (UC) problem is formulated as two-stage distributionally robust optimization (DR&RO) problem. first stage, commitment, energy, reserves generators pre-scheduled to mi...

Renewable energy sources prevail as a clean source and their penetration in the power sector is increasing day by due to growing concern for climate action. However, intermittent nature of renewable based-power generation questions grid security, especially when utilized solar radiation or wind flow. The intermittency can be met integration distributed resources. virtual plant (VPP) new concept...

In this paper a novel approach for sequential bidding on day-ahead auction markets for spot energy and power systems reserve is presented. For the spot market a relatively simple method is considered as a competitive market is assumed. For the reserve market one bidder is assumed to behave strategically and the behavior of the competitors is summarized in a probability distribution of the marke...

With trend of globalization in the international financial market, a more intimate relationship of capital flows is being formed day by day in capital market. Thus, it is important to understand the relationship of individual country with others in the international stock markets. The main purpose of this study is to explore the relationship of Stock Indices among China, US, and Japan. The stud...

Energy communities have been designed to empower consumers while maximizing the self-consumption of local renewable energy sources (RESs). Their presence in distribution systems can result strong modifications operation and management such systems, moving from a centralized distributed one. In this scope, work proposes community-based market that aims at minimizing costs each community member, ...