电价、需求与可再生能源的多元相关分析
A Multivariate Dependence Analysis for Electricity Prices, Demand and Renewable Energy Sources
摘要：
本文通过一个多变量Copula模型（同时研究欧洲最广泛的研究市场德国）来考察电价、需求和可再生能源之间的依赖关系。随着时间的推移，深入研究和监测相互依赖关系，特别强调尾部行为。为此，适当的尾部相关措施，考虑到多元极端的情况下适当确定{通过}肯德尔的分布函数。经验证据表明，电力价格，可再生能源和需求之间的强关联在一天内，并在研究年。因此，该分析为进一步和不同的激励措施提供了指导，以促进绿色能源发电，同时考虑到所涉及的变量的时变依赖性
英文摘要：
This paper examines the dependence between electricity prices, demand, and renewable energy sources by means of a multivariate copula model {while studying Germany, the widest studied market in Europe}. The inter-dependencies are investigated in-depth and monitored over time, with particular emphasis on the tail behavior. To this end, suitable tail dependence measures are introduced to take into account a multivariate extreme scenario appropriately identified {through the} Kendall's distribution function. The empirical evidence demonstrates a strong association between electricity prices, renewable energy sources, and demand within a day and over the studied years. Hence, this analysis provides guidance for further and different incentives for promoting green energy generation while considering the time-varying dependencies of the involved variables
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