Tail risk of electricity futures
Year of publication: |
2020
|
---|---|
Authors: | Peña Sánchez de Rivera, Juan Ignacio ; Rodríguez, Rosa ; Mayoral, Silvia |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 91.2020, p. 1-16
|
Subject: | Backtesting | Electricity markets | Expected shortfall | Futures markets | Value-at-risk | Risikomaß | Risk measure | Derivat | Derivative | Elektrizitätswirtschaft | Electric power industry | Risikomanagement | Risk management | Elektrizität | Electricity | Volatilität | Volatility | Schätzung | Estimation | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Strompreis | Electricity price |
-
Tail risk contagion across electricity markets in crisis periods
Abdullah, Mohammad, (2023)
-
On the estimation of extreme values for risk assessment and management : the ACER method
Dahlen, Kai Erik, (2015)
-
Dai, Yun-Shi, (2023)
- More ...
-
Modeling Renewable Power Purchase Agreements Prices
Peña, Juan Ignacio, (2022)
-
Hedging Renewable Power Purchase Agreements
Peña, Juan Ignacio, (2023)
-
On the economic link between asset prices and real activity
Peña Sánchez de Rivera, Juan Ignacio, (2007)
- More ...