The focus of the present dissertation is placed on econometric modeling and forecasting with application in electricity markets. The thesis is built on three academic papers. These papers provide a comprehensive study of econometric modeling and forecasting with application in electricity markets. More specifically, the thesis places an emphasis on the analysis of wholesale auction supply and demand curves (also known as sales and purchase curves) in electricity markets. The thesis makes four global contributions to academic literature. First, it is shown that econometric modeling and forecasting of the curves can be successfully used to both deeper understand the underlying structure of an electricity market as well as to make relatively accurate electricity price and volume forecasts. Therefore, the thesis fills an existing gap in the academic literature, as the wholesale auction curves in electricity markets were relatively unstudied. Second, the thesis shows that econometric modeling of wholesale supply and demand curves allows best aspects of both statistical and structural methods to be combined. Therefore, the thesis can be placed on the intersection between these two methods and bridges the gap between them. Third, several novel econometric models were elaborated within this thesis, thus underlining its novelty and presenting multiple opportunities for further research. Fourth, besides its methodological and academic contribution, the thesis elaborates on real-world economic and policy implications of models’ results. Hence, the thesis can be of interest to both researchers and practitioners alike