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Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji; Bunn, Derek W.; Yamada, Yuji - In: Quantitative finance 22 (2022) 5, pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
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Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li; Walker, Stephen G.; Damien, Paul; Bunn, Derek W. - In: Quantitative finance 22 (2022) 8, pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
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Higher moments in the fundamental specification of electricity forward prices
Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078
Persistent link: https://www.econbiz.de/10013490922