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~isPartOf:"Energy economics"
~isPartOf:"Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir"
~subject:"ARCH model"
~subject:"Electricity price"
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ARCH model
Electricity price
Stochastic process
83
Stochastischer Prozess
83
Theorie
33
Theory
33
Volatility
30
Volatilität
30
Electric power industry
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Baum, Christopher F.
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Ausín, M. Concepción
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1
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1
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1
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1
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1
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1
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1
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Energy economics
Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir
Journal of econometrics
27
Discussion paper / Tinbergen Institute
16
Journal of empirical finance
9
Econometric Institute research papers
8
Econometric reviews
8
International journal of theoretical and applied finance
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative finance
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CREATES research paper
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Computational economics
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Econometrics : open access journal
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European journal of operational research : EJOR
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International journal of forecasting
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Journal of risk and financial management : JRFM
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Economic modelling
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Economics letters
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The North American journal of economics and finance : a journal of financial economics studies
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Working paper
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Applied economics
4
Discussion papers of interdisciplinary research project 373
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Finance research letters
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Operations research
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Research in international business and finance
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The European journal of finance
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Annals of financial economics
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CAMA working paper series
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CESifo working papers
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
3
International review of financial analysis
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Journal of banking & finance
3
Journal of economic dynamics & control
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Macroeconomic dynamics
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OR spectrum : quantitative approaches in management
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Risks : open access journal
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ECONIS (ZBW)
23
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1
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:
2
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:
3
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:
4
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:
5
Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.
;
Zerilli, Paola
;
Chen, Liyuan
- In:
Energy economics
93
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Saved in:
6
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:
7
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
Saved in:
8
Deregulated electricity market, a stochastic variational approach
Limosani, Michele
;
Milasi, Monica
;
Scopelliti, Domenico
- In:
Energy economics
103
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013363888
Saved in:
9
A multi-factor approach to modelling the impact of wind energy on electricity spot prices
Rowińska, Paulina A.
;
Veraart, Almut E. D.
;
Gruet, Pierre
- In:
Energy economics
104
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013364270
Saved in:
10
Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Virbickaitė, Audronė
;
Ausín, M. Concepción
; …
- In:
Energy economics
92
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012519661
Saved in:
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