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Dr. Giovanni Masala
Università degli Studi di Cagliari

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0 Finance
0 Copula Functions
0 energy and environmental economics
0 risk management
0 Risk Models for Insurance

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Copula Functions
risk management

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Journal article
Published: 12 January 2021 in Energies
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The energy produced by a wind farm in a given location and its associated income depends both on the wind characteristics in that location—i.e., speed and direction—and the dynamics of the electricity spot price. Because of the evidence of cross-correlations between wind speed, direction and price series and their lagged series, we aim to assess the income of a hypothetical wind farm located in central Italy when all interactions are considered. To model these cross and auto-correlations efficiently, we apply a high-order multivariate Markov model which includes dependencies from each time series and from a certain level of past values. Besides this, we used the Raftery Mixture Transition Distribution model (MTD) to reduce the number of parameters to get a more parsimonious model. Using data from the MERRA-2 project and from the electricity market in Italy, we estimate the model parameters and validate them through a Monte Carlo simulation. The results show that the simulated income faithfully reproduces the empirical income and that the multivariate model also closely reproduces the cross-correlations between the variables. Therefore, the model can be used to predict the income generated by a wind farm.

ACS Style

Riccardo De Blasis; Giovanni Batista Masala; Filippo Petroni. A Multivariate High-Order Markov Model for the Income Estimation of a Wind Farm. Energies 2021, 14, 388 .

AMA Style

Riccardo De Blasis, Giovanni Batista Masala, Filippo Petroni. A Multivariate High-Order Markov Model for the Income Estimation of a Wind Farm. Energies. 2021; 14 (2):388.

Chicago/Turabian Style

Riccardo De Blasis; Giovanni Batista Masala; Filippo Petroni. 2021. "A Multivariate High-Order Markov Model for the Income Estimation of a Wind Farm." Energies 14, no. 2: 388.

Original paper
Published: 31 October 2020 in Letters in Spatial and Resource Sciences
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This article deals with the production of energy through photovoltaic (PV) panels. The efficiency and quantity of energy produced by a PV panel depend on both deterministic factors, mainly related to the technical characteristics of the panels, and stochastic factors, essentially the amount of incident solar radiation and some climatic variables that modify the efficiency of solar panels such as temperature and wind speed. The main objective of this work is to estimate the energy production of a PV system with fixed technical characteristics through the modeling of the stochastic factors listed above. Besides, we estimate the economic profitability of the plant, net of taxation or subsidiary payment policies, considered taking into account the hourly spot price curve of electricity and its correlation with solar radiation, via vector autoregressive models. Our investigation ends with a Monte Carlo simulation of the models introduced. We also propose the pricing of some quanto options that allow hedging both the price risk and the volumetric risk.

ACS Style

Laura Casula; Guglielmo D’Amico; Giovanni Masala; Filippo Petroni. Performance estimation of photovoltaic energy production. Letters in Spatial and Resource Sciences 2020, 13, 267 -285.

AMA Style

Laura Casula, Guglielmo D’Amico, Giovanni Masala, Filippo Petroni. Performance estimation of photovoltaic energy production. Letters in Spatial and Resource Sciences. 2020; 13 (3):267-285.

Chicago/Turabian Style

Laura Casula; Guglielmo D’Amico; Giovanni Masala; Filippo Petroni. 2020. "Performance estimation of photovoltaic energy production." Letters in Spatial and Resource Sciences 13, no. 3: 267-285.

Journal article
Published: 17 August 2020 in Energies
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Because of the stochastic nature of wind turbines, the output power management of wind power generation (WPG) is a fundamental challenge for the integration of wind energy systems into either power systems or microgrids (i.e., isolated systems consisting of local wind energy systems only) in operation and planning studies. In general, a wind energy system can refer to both one wind farm consisting of a number of wind turbines and a given number of wind farms sited at the area in question. In power systems (microgrid) planning, a WPG should be quantified for the determination of the expected power flows and the analysis of the adequacy of power generation. Concerning this operation, the WPG should be incorporated into an optimal operation decision process, as well as unit commitment and economic dispatch studies. In both cases, the probabilistic investigation of WPG leads to a multivariate uncertainty analysis problem involving correlated random variables (the output power of either wind turbines that constitute wind farm or wind farms sited at the area in question) that follow different distributions. This paper advances a multivariate model of WPG for a wind farm that relies on indexed semi-Markov chains (ISMC) to represent the output power of each wind energy system in question and a copula function to reproduce the spatial dependencies of the energy systems’ output power. The ISMC model can reproduce long-term memory effects in the temporal dependence of turbine power and thus understand, as distinct cases, the plethora of Markovian models. Using copula theory, we incorporate non-linear spatial dependencies into the model that go beyond linear correlations. Some copula functions that are frequently used in applications are taken into consideration in the paper; i.e., Gumbel copula, Gaussian copula, and the t-Student copula with different degrees of freedom. As a case study, we analyze a real dataset of the output powers of six wind turbines that constitute a wind farm situated in Poland. This dataset is compared with the synthetic data generated by the model thorough the calculation of three adequacy indices commonly used at the first hierarchical level of power system reliability studies; i.e., loss of load probability (LOLP), loss of load hours (LOLH) and loss of load expectation (LOLE). The results will be compared with those obtained using other models that are well known in the econometric field; i.e., vector autoregressive models (VAR).

ACS Style

Guglielmo D’Amico; Giovanni Masala; Filippo Petroni; Robert Adam Sobolewski. Managing Wind Power Generation via Indexed Semi-Markov Model and Copula. Energies 2020, 13, 4246 .

AMA Style

Guglielmo D’Amico, Giovanni Masala, Filippo Petroni, Robert Adam Sobolewski. Managing Wind Power Generation via Indexed Semi-Markov Model and Copula. Energies. 2020; 13 (16):4246.

Chicago/Turabian Style

Guglielmo D’Amico; Giovanni Masala; Filippo Petroni; Robert Adam Sobolewski. 2020. "Managing Wind Power Generation via Indexed Semi-Markov Model and Copula." Energies 13, no. 16: 4246.

Article
Published: 29 July 2020 in Empirical Economics
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Since the liberalization of electricity markets, electricity prices are more volatile and expansion in electricity derivatives trading occurs. Indeed, a well-known feature of electricity prices concerns its high volatility. For this reason, operators use power futures to hedge against unexpected risk deriving from adverse fluctuations of spot prices within the planned delivering period. Indeed, futures contracts permit to fix the price of electricity in advance for the use in the scheduled period. Our paper is devoted specifically to the Italian electricity market. In this respect, we examine empirical data from IDEX, the Energy Derivatives part of the Italian derivatives market IDEM, administered by “Borsa Italiana.” We finally survey the possible connections concerning futures and spot prices and, as a consequence, we deduce information about important indicators whereof the ex-post risk premium and the net convenience yield. For this purpose, we use several regression techniques to determine suitable explanatory variables inherent the Italian market for the ex-post risk premium and the net convenience yield.

ACS Style

Laura Casula; Giovanni Masala. Electricity derivatives: an application to the futures Italian market. Empirical Economics 2020, 61, 637 -666.

AMA Style

Laura Casula, Giovanni Masala. Electricity derivatives: an application to the futures Italian market. Empirical Economics. 2020; 61 (2):637-666.

Chicago/Turabian Style

Laura Casula; Giovanni Masala. 2020. "Electricity derivatives: an application to the futures Italian market." Empirical Economics 61, no. 2: 637-666.

Original article
Published: 22 April 2020 in The World Economy
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This paper aimed to estimate the income generated by a wind turbine over a given time interval. The income depends on two main variables: the wind speed that determines the produced energy and electricity price. Both wind speed and electricity price evolve randomly in time and are correlated. To consider this dependency, we applied a vector autoregressive process (VAR) that links both variables. An application was performed using real data from a hypothetical wind turbine located in Sardinia (Italy). The income simulated by using the VAR model was closer to the empirical value compared with that obtained by simulating wind speed and electricity prices as independent variables. The results were also discussed in relation to the introduction of the SAPEI submarine cable, which produces a significant change in the income value.

ACS Style

Laura Casula; Guglielmo D'amico; Giovanni Masala; Filippo Petroni. Performance estimation of a wind farm with a dependence structure between electricity price and wind speed. The World Economy 2020, 43, 2803 -2822.

AMA Style

Laura Casula, Guglielmo D'amico, Giovanni Masala, Filippo Petroni. Performance estimation of a wind farm with a dependence structure between electricity price and wind speed. The World Economy. 2020; 43 (10):2803-2822.

Chicago/Turabian Style

Laura Casula; Guglielmo D'amico; Giovanni Masala; Filippo Petroni. 2020. "Performance estimation of a wind farm with a dependence structure between electricity price and wind speed." The World Economy 43, no. 10: 2803-2822.

Original paper
Published: 23 April 2019 in Energy Systems
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The energy markets play a crucial role in the economic development of every country. These markets are characterized by high volatilities due to sizeable price fluctuations. The correct development of risk measures to quantify the inherent risk market is then a challenging task for the risk management systems. We consider in this survey a portfolio composed of two energy assets: crude oil and natural gas. We adopt, as a risk measure, the value-at-risk and the expected shortfall. In order to estimate these risk measures efficiently, we model the tails of each marginal with extreme value theory and we adopt a general dependence structure between the two assets given by a t-copula. The performance of the model is then validated with backtesting technique. To this end, we use a database ranging from years 1997 to 2017. We have then highlighted that the backtesting based on the value-at-risk and the Expected Shortfall passed the most common tests.

ACS Style

Giovanni Masala. Backtesting energy portfolio with copula dependence structure. Energy Systems 2019, 12, 393 -410.

AMA Style

Giovanni Masala. Backtesting energy portfolio with copula dependence structure. Energy Systems. 2019; 12 (2):393-410.

Chicago/Turabian Style

Giovanni Masala. 2019. "Backtesting energy portfolio with copula dependence structure." Energy Systems 12, no. 2: 393-410.

Journal article
Published: 03 May 2018 in Investment Management and Financial Innovations
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The dependence structure between the main energy markets (such as crude oil, natural gas, and coal) and the main stock index plays a crucial role in the economy of a given country. As the dependence structure between these series is dramatically complex and it appears to change over time, time-varying dependence structure given by a class of dynamic copulas is taken into account.To this end, each pair of time series returns with a dynamic t-Student copula is modelled, which takes as input the time-varying correlation. The correlation evolves with the DCC(1,1) equation developed by Engle.The model is tested through a simulation by employing empirical data issued from the Italian Stock Market and the main connected energy markets. The author considers empirical distributions for each marginal series returns in order to focus on the dependence structure. The model’s parameters are estimated by maximization of the log-likelihood. Also evidence is found that the proposed model fits correctly, for each pair of series, the left tail dependence coefficient and it is then compared with a static copula dependence structure which clearly underperforms the number of joint extreme values at a given confidence level.

ACS Style

Giovanni Masala. Dynamic dependence structure between energy markets and the Italian stock index. Investment Management and Financial Innovations 2018, 15, 60 -67.

AMA Style

Giovanni Masala. Dynamic dependence structure between energy markets and the Italian stock index. Investment Management and Financial Innovations. 2018; 15 (2):60-67.

Chicago/Turabian Style

Giovanni Masala. 2018. "Dynamic dependence structure between energy markets and the Italian stock index." Investment Management and Financial Innovations 15, no. 2: 60-67.

Journal article
Published: 19 December 2014 in International Journal of Climatology
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The North Atlantic Oscillation (NAO) index plays a crucial role in the climatic evolution of the Northern Hemisphere. Predicting NAO evolution is very challenging due to the large number of physical processes that influence it. Quantitative surveys have tried to detect possible long‐term trends or periodic features in the NAO evolution. In this study, we implement a stochastic model that is able to replicate the statistical characteristics of the NAO index, based on a non‐homogeneous semi‐Markov Model. For this purpose, we set up two states of the process, namely positive and negative NAO values. We also analyse positive and negative sequences of NAO values. The model characteristics are estimated using daily real values during the period 1950–2013 and we lastly implement a Monte Carlo procedure in order to simulate daily NAO values covering a 1‐year time horizon. Next, this model is compared with a typical ARMA ‐ GARCH model used in time series analysis, which appears to be underperforming, in contrast with the semi‐Markov one.

ACS Style

Giovanni Masala. North Atlantic Oscillation index stochastic modelling. International Journal of Climatology 2014, 35, 3624 -3632.

AMA Style

Giovanni Masala. North Atlantic Oscillation index stochastic modelling. International Journal of Climatology. 2014; 35 (12):3624-3632.

Chicago/Turabian Style

Giovanni Masala. 2014. "North Atlantic Oscillation index stochastic modelling." International Journal of Climatology 35, no. 12: 3624-3632.

Journal article
Published: 01 June 2014 in Biometrical Letters
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SUMMARY In this paper we apply a parametric semi-Markov process to model the dynamic evolution of HIV-1 infected patients. The seriousness of the infection is rendered by the CD4+ T-lymphocyte counts. For this purpose we introduce the main features of nonhomogeneous semi-Markov models. After determining the transition probabilities and the waiting time distributions in each state of the disease, we solve the evolution equations of the process in order to estimate the interval transition probabilities. These quantities appear to be of fundamental importance for clinical predictions. We also estimate the survival probabilities for HIV infected patients and compare them with respect to certain categories, such as gender, age group or type of antiretroviral therapy. Finally we attach a reward structure to the aforementioned semi-Markov processes in order to estimate clinical costs. For this purpose we generate random trajectories from the semi-Markov processes through Monte Carlo simulation. The proposed model is then applied to a large database provided by ISS (Istituto Superiore di Sanità, Rome, Italy), and all the quantities of interest are computed.

ACS Style

Giovanni Masala; Giuseppina Cannas; Marco Micocci. Survival probabilities for HIV infected patients through semi-Markov processes. Biometrical Letters 2014, 51, 13 -36.

AMA Style

Giovanni Masala, Giuseppina Cannas, Marco Micocci. Survival probabilities for HIV infected patients through semi-Markov processes. Biometrical Letters. 2014; 51 (1):13-36.

Chicago/Turabian Style

Giovanni Masala; Giuseppina Cannas; Marco Micocci. 2014. "Survival probabilities for HIV infected patients through semi-Markov processes." Biometrical Letters 51, no. 1: 13-36.

Journal article
Published: 30 August 2013 in Stochastic Environmental Research and Risk Assessment
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Weather derivatives represent a new and particular kind of contingent claim which shares a specific underlying weather index. These derivatives are written for different temperature indices, hurricanes, frost, snowfall and rainfall, and they are available for several cities. Our paper focuses on rainfall derivatives. In order to price this kind of derivatives, we have to model daily rainfall sequences at a specific location. For this purpose, we adopt a non-homogeneous parametric semi-Markov model to describe the rainfall occurrences, and a mixture of exponential distributions for rainfall amounts. The underlying Markov process has the obvious two states: dry and wet. In addition, dry and wet sequences are estimated by using best-fitting techniques. The model parameters are determined thanks to classical log-likelihood maximization. We finally price some rainfall contracts issued by the Chicago Mercantile Exchange through Monte Carlo simulation. The numerical applications and the parameter estimations are carried out using real data.

ACS Style

Giovanni Masala. Rainfall derivatives pricing with an underlying semi-Markov model for precipitation occurrences. Stochastic Environmental Research and Risk Assessment 2013, 28, 717 -727.

AMA Style

Giovanni Masala. Rainfall derivatives pricing with an underlying semi-Markov model for precipitation occurrences. Stochastic Environmental Research and Risk Assessment. 2013; 28 (3):717-727.

Chicago/Turabian Style

Giovanni Masala. 2013. "Rainfall derivatives pricing with an underlying semi-Markov model for precipitation occurrences." Stochastic Environmental Research and Risk Assessment 28, no. 3: 717-727.

Journal article
Published: 14 May 2012 in Journal of Forecasting
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The estimation of hurricane intensity evolution in some tropical and subtropical areas is a challenging problem. Indeed, the prevention and the quantification of possible damage provoked by destructive hurricanes are directly linked to this kind of prevision. For this purpose, hurricane derivatives have been recently issued by the Chicago Mercantile Exchange, based on the so‐called Carvill hurricane index.

ACS Style

Giovanni Masala. Hurricane Lifespan Modeling through a Semi-Markov Parametric Approach. Journal of Forecasting 2012, 32, 369 -384.

AMA Style

Giovanni Masala. Hurricane Lifespan Modeling through a Semi-Markov Parametric Approach. Journal of Forecasting. 2012; 32 (4):369-384.

Chicago/Turabian Style

Giovanni Masala. 2012. "Hurricane Lifespan Modeling through a Semi-Markov Parametric Approach." Journal of Forecasting 32, no. 4: 369-384.

Original articles
Published: 01 January 2012 in Journal of Applied Statistics
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The estimation of earthquakes’ occurrences prediction in seismic areas is a challenging problem in seismology and earthquake engineering. Indeed, the prevention and the quantification of possible damage provoked by destructive earthquakes are directly linked to this kind of prevision. In our paper, we adopt a parametric semi-Markov approach. This model assumes that a sequence of earthquakes is seen as a Markov process and besides it permits to take into consideration the more realistic assumption of events’ dependence in space and time. The elapsed time between two consecutive events is modeled as a general Weibull distribution. We determine then the transition probabilities and the so-called crossing states probabilities. We conclude then with a Monte Carlo simulation and the model is validated through a large database containing real data.

ACS Style

Giovanni Masala. Earthquakes occurrences estimation through a parametric semi-Markov approach. Journal of Applied Statistics 2012, 39, 81 -96.

AMA Style

Giovanni Masala. Earthquakes occurrences estimation through a parametric semi-Markov approach. Journal of Applied Statistics. 2012; 39 (1):81-96.

Chicago/Turabian Style

Giovanni Masala. 2012. "Earthquakes occurrences estimation through a parametric semi-Markov approach." Journal of Applied Statistics 39, no. 1: 81-96.

Journal article
Published: 01 June 2004 in Rendiconti del Circolo Matematico di Palermo Series 2
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We give congruence theorems for triangles in the Grassmann manifoldG 2(L 4) after showing that the congruence class of isometric triangles has dimension 8.

ACS Style

Giovanni Masala. Congruence theorems for triangles in the grassmann manifoldG 2(L 4). Rendiconti del Circolo Matematico di Palermo Series 2 2004, 53, 235 -250.

AMA Style

Giovanni Masala. Congruence theorems for triangles in the grassmann manifoldG 2(L 4). Rendiconti del Circolo Matematico di Palermo Series 2. 2004; 53 (2):235-250.

Chicago/Turabian Style

Giovanni Masala. 2004. "Congruence theorems for triangles in the grassmann manifoldG 2(L 4)." Rendiconti del Circolo Matematico di Palermo Series 2 53, no. 2: 235-250.

Journal article
Published: 01 April 2001 in Journal of Geometry
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We give a complete set of orthogonal invariants for tetrahedra in \( G_2(R^8) \) . As a consequence, we characterise regular tetrahedra and we exhibit the existence regions of these objects in comparison with the angular invariants associated to them.

ACS Style

Giovanni Masala. Congruence theorem for 4-tuples in the Grassmann manifold $ G_2(R^8) $. Journal of Geometry 2001, 70, 117 -132.

AMA Style

Giovanni Masala. Congruence theorem for 4-tuples in the Grassmann manifold $ G_2(R^8) $. Journal of Geometry. 2001; 70 (1):117-132.

Chicago/Turabian Style

Giovanni Masala. 2001. "Congruence theorem for 4-tuples in the Grassmann manifold $ G_2(R^8) $." Journal of Geometry 70, no. 1: 117-132.

Journal article
Published: 01 February 1994 in Geometriae Dedicata
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We show that the shape invariant σ of a triangle in the complex projective space ℂPn , see [B], can be obtained by integrating the Kählerian form of ℂPn over a domain parametrized by geodesics and bounded by a geodesic loop formed with sides of the triangle.

ACS Style

Th. Hangan; G. Masala. A geometrical interpretation of the shape invariant for geodesic triangles in complex projective spaces. Geometriae Dedicata 1994, 49, 129 -134.

AMA Style

Th. Hangan, G. Masala. A geometrical interpretation of the shape invariant for geodesic triangles in complex projective spaces. Geometriae Dedicata. 1994; 49 (2):129-134.

Chicago/Turabian Style

Th. Hangan; G. Masala. 1994. "A geometrical interpretation of the shape invariant for geodesic triangles in complex projective spaces." Geometriae Dedicata 49, no. 2: 129-134.