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Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management.
López Cabrera, Brenda; Schulz, Franziska - 2016
estimation techniques. The methodology is applied to electricity market data from Germany. We find that renewable infeed effect …
Persistent link: https://www.econbiz.de/10011538153
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Forecast based pricing of weather derivatives
Härdle, Wolfgang; López Cabrera, Brenda; Ritter, Matthias - 2012
Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...
Persistent link: https://www.econbiz.de/10009511156
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Designing an index for assessing wind energy potential
Ritter, Matthias; Shen, Zhiwei; López Cabrera, Brenda; … - 2014
parameter logistic function. The resulting wind energy index allows for a turbine-specific estimation of the expected wind power …
Persistent link: https://www.econbiz.de/10010407285
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Realized volatility of CO2 futures
Benschop, Thijs; López Cabrera, Brenda - 2017
certificates for the second EU-ETS trading period (expiry December 2008-2012). The estimation results of the models allow to …
Persistent link: https://www.econbiz.de/10011747080
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Forecasting generalized quantiles of electricity demand : a functional data approach
López Cabrera, Brenda; Schulz, Franziska - 2014
quantiles and expectiles. Furthermore, interest often lies in the accurate estimation of tail events rather than in the mean or …
Persistent link: https://www.econbiz.de/10010358450