After the deregulation process observed in the electricity sector,producers and consumers, and in general all market participants,faced different types of risks as market and volume risks. Hence, practitioners and scholars have been continuously involved in monitoring electricity prices. Over more than a 10-year history,power markets changed according to new technologies and energy regulations. Therefore, we investigate the “new stylized facts” of these prices. Comparing alternative methods and controlling for the price fundamentals of demand and fuels, we show how electricity prices have been affected by the stochastic nature of wind generation.