Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes
Year of publication: |
2019
|
---|---|
Authors: | Souhir, Ben Amor ; Heni, Boubaker ; Lotfi, Belkacem |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 80.2019, p. 635-655
|
Subject: | Conditional VaR-optimal hedge ratio | Electricity market | Long run dependence | Risk management | Sector indexes | Hedging | Risikomanagement | Elektrizitätswirtschaft | Electric power industry | Strompreis | Electricity price | Derivat | Derivative | Spotmarkt | Spot market |
-
Application of non-linear time series models to power risk management: a case study for Germany
Kosater, Peter, (2006)
-
A survey of electricity spot and futures price models for risk management applications
Deschatre, Thomas, (2021)
-
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
Mehrdoust, Farshid, (2021)
- More ...
-
A wavelet-based approach for modelling exchange rates
Heni, Boubaker, (2011)
- More ...