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...

This paper addresses two issues that concern the electricity market participants under European day-ahead (DAM) framework, namely feasibility of attained schedules and non-confiscation cleared volumes. To address first issue, new resource-specific orders, i.e., thermal orders for generating units, demand response load responsive resources, energy limited storage are proposed incorporated in exi...

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...