Energy Markets


Energy Markets

I am interested in energy finance. Especially in electricity markets and in funding mechanisms for renewable energy generation. Energy firms (and governments interested in the transition to a sustainable energy generation paradigm) face challenges that have proven to be crucial and new approaches alongside quantitative assessment are required in the field.

So far I have worked on new tools to model the price of electricity based on weather, systemic risk scenarios in energy markets and risk propagation across natural gas and electricity markets. My current work in this line focuses on capital structure decisions of oil firms under recent global changing conditions, and on the development of new insurance, credit and derivative products that can facilitate new medium-size investment projects in variable renewable energy generation.

Working Papers

“Risk propagation in electricity markets: measuring the asymmetric transmission of downside and upside risks in energy prices” (with Stephania Mosquera and Montserrat Guillen). Draft available upon request.


Quantile Regression for Cross-Sectional and Time Series Data: Applications in Energy Markets Using R Springer-Finance 2020

Volatility spillovers in energy marketsSlides ICEFM   Energy Journal 2019

Uncovering the nonlinear predictive causality between natural gas and electricity pricesEnergy Economics 2018

Effect of stopping hydroelectric power generation on electricity prices: An event study approachRenewable and Sustainable Energy Reviews 2018

“Financial risk network architecture of energy firms” Applied Energy 2018 

“Nonlinear empirical pricing in electricity markets using fundamental weather factors”, (with Mosquera S. and Manotas D.) Energy 2017 Slides

“Risk Asymmetries in Hydrothermal Power Generation Markets”  (with Mosquera S. and Manotas D.) Electric Power Systems Research 2017 Slides ECF-16