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~isPartOf:"Applied economics letters"
~isPartOf:"Energy economics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir"
~subject:"Electricity price"
~subject:"Estimation"
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Electricity price
Estimation
Stochastic process
164
Stochastischer Prozess
164
Theorie
74
Theory
74
Volatility
72
Volatilität
72
Schätzung
37
Time series analysis
30
Zeitreihenanalyse
30
Option pricing theory
28
Optionspreistheorie
28
ARCH model
19
ARCH-Modell
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Electric power industry
19
Elektrizitätswirtschaft
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Commodity derivative
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Rohstoffderivat
18
Monte Carlo simulation
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Monte-Carlo-Simulation
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Oil price
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Stochastic volatility
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Ölpreis
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Capital income
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Kapitaleinkommen
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Börsenkurs
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Markov chain
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Markov-Kette
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Share price
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Strompreis
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Estimation theory
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Schätztheorie
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Forecasting model
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Prognoseverfahren
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Bayes-Statistik
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Bayesian inference
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Welt
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World
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Müller, Gernot
3
Chang, Tsangyao
2
Schmeck, Maren Diane
2
Abate, Arega Getaneh
1
Agosto, Arianna
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Ambrosius, Mirjam
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Andriosopoulos, Kostas
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Arbia, Giuseppe
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Bertsch, Valentin
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Boubaker, Sabri
1
Brümmer, Bernhard
1
Cartea, Álvaro
1
Caudill, Steven B.
1
Cavaliere, Giuseppe
1
Chan, Chia-ying
1
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1
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Cho, Hoon
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Chu, Hsiao-ping
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1
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1
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Applied economics letters
Energy economics
Journal of empirical finance
Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir
Journal of econometrics
46
Econometric reviews
27
Working paper
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Applied economics
19
Economic modelling
19
Discussion paper / Tinbergen Institute
18
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
CAMA working paper series
17
Journal of banking & finance
17
Journal of applied econometrics
13
Economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
The journal of futures markets
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
European journal of operational research : EJOR
11
International journal of forecasting
11
Econometrics : open access journal
10
Research paper series / Swiss Finance Institute
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CREATES research paper
9
Finance research letters
9
International journal of theoretical and applied finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of productivity analysis
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NBER Working Paper
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NBER working paper series
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Quantitative finance
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SFB 649 discussion paper
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Discussion paper
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Discussion paper series / IZA
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Econometric Institute research papers
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Journal of economic dynamics & control
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Journal of financial econometrics
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Journal of financial economics
8
Working paper / National Bureau of Economic Research, Inc.
8
Discussion papers of interdisciplinary research project 373
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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1
Better to grow or better to improve? : measuring environmental efficiency in OECD countries with a stochastic environmental Kuznets frontier (SEKF)
Badunenko, Oleg
;
Galeotti, Marzio
;
Hunt, Lester C.
- In:
Energy economics
121
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014438777
Saved in:
2
On the volatility of WTI crude oil prices : a time-varying approach with stochastic volatility
Thai-Ha Le
;
Boubaker, Sabri
;
Manh Tien Bui
;
Park, Donghyun
- In:
Energy economics
117
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014436424
Saved in:
3
Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren
;
Hambuckers, Julien
- In:
Journal of empirical finance
65
(
2022
),
pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
Saved in:
4
Risk aversion in multilevel electricity market models with different congestion pricing regimes
Ambrosius, Mirjam
;
Egerer, Jonas
;
Grimm, Veronika
; …
- In:
Energy economics
105
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013201742
Saved in:
5
Short-term risk management of electricity retailers under rising shares of decentralized solar generation
Russo, Marianna
;
Kraft, Emil
;
Bertsch, Valentin
;
Keles, …
- In:
Energy economics
109
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013283857
Saved in:
6
Stochastic convergence of per capita greenhouse gas emissions : new unit root tests with breaks and a factor structure
Payne, James E.
;
Lee, Junsoo
;
Islam, Md. Towhidul
; …
- In:
Energy economics
113
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013540483
Saved in:
7
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika
;
Schmeck, Maren Diane
;
Kh.Balci, Anna
- In:
Energy economics
113
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013540564
Saved in:
8
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
Saved in:
9
Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Gonzato, Luca
;
Sgarra, Carlo
- In:
Energy economics
99
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012939406
Saved in:
10
Contracts in electricity markets under EU ETS : a stochastic programming approach
Abate, Arega Getaneh
;
Riccardi, Rossana
;
Ruiz, Carlos
- In:
Energy economics
99
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012939437
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