Wind power and its impact on power prices in Denmark

Sammanfattning: Including wind power in the European power system may cause instability in the power market due to the uncontrollable generation capacity. The purpose of this thesis is to investigate the relationship between Danish power prices and wind power produced in Denmark, both in terms of general dependence structure and the extreme dependence. Filtered observations of daily power prices and filtered observations of daily wind power are modeled using copulas and extreme value theory. Results indicate a significant influence of the wind power on prices, such that large wind power supply leads to low prices. However, it is shown that the extreme observations of high prices occur independently of those of low wind power, leading to the conclusion that low wind power supply cannot explain occurrences of extremely high prices.