UK: Use of Novel Statistical Tools in Fuel Price Forecasting for DECC

In partnership with Heriot Watt University, we investigated the suitability of using a customised copula to capture the interdependency between fossil fuel prices. The copula will be used by the UK Department of Energy and Climate Change (DECC) to generate correlated samples around the central fossil fuel price projections for use in Monte-Carlo modelling to understand the uncertainty around fuel price projections based on historic data. DECC subsequently commissioned a further study into the suitability of Monte Carlo sampling approaches.