A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
Year of publication: |
2014
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Authors: | Ignatieva, Ekaterina |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 5, p. 483-505
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Subject: | Electricity modeling | nonparametric estimation | futures pricing | market price of risk | Derivat | Derivative | Nichtparametrisches Verfahren | Nonparametric statistics | Strompreis | Electricity price | Elektrizitätswirtschaft | Electric power industry | Schätzung | Estimation | Spotmarkt | Spot market | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory |
Extent: | graph. Darst. |
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Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.1515/snde-2012-0001 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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