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Analysis and Modelling of Electricity Futures Prices
Borovkova, Svetlana; Geman, Helyette - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3, pp. 1372-1372
We model electricity futures prices using a seasonal forward curve model, quantifying seasonalities by a deterministic seasonal forward premium. Stochastic features of the futures prices are contained in the stochastic forward premium: a quantity analogous to the well-known convenience yield....
Persistent link: https://www.econbiz.de/10005246261
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Consistency and asymptotic normality of least squares estimators in generalized STAR models
Borovkova, Svetlana; Lopuhaä, Hendrik P.; Ruchjana, … - In: Statistica Neerlandica 62 (2008) 4, pp. 482-508
Persistent link: https://www.econbiz.de/10005251567
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Conditional distribution resampling for time series
Diks, Cees; Borovkova, Svetlana - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005345637
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Detecting market transitions and energy futures risk management using principal components
Borovkova, Svetlana - In: The European journal of finance 12 (2006) 6, pp. 495-512
Persistent link: https://www.econbiz.de/10007293827
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A CLOSED FORM APPROACH TO THE VALUATION AND HEDGING OF BASKET AND SPREAD OPTIONS
Borovkova, Svetlana; Permana, Ferry J.; Weide, Hans V.D. - In: The journal of derivatives : the official publication … 14 (2007) 4, pp. 8-24
Persistent link: https://www.econbiz.de/10007748439
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Commodity volatility modelling and option pricing with a potential function approach
Anderluh, Jasper; Borovkova, Svetlana - In: The European journal of finance 14 (2008) 2, pp. 91-114
Persistent link: https://www.econbiz.de/10007912573
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Commodity volatility modelling and option pricing with a potential function approach
Anderluh, Jasper; Borovkova, Svetlana - In: The European journal of finance 14 (2008) 1-2, pp. 91-114
Persistent link: https://www.econbiz.de/10007990726
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Consistency and asymptotic normality of least squares estimators in generalized STAR models
Borovkova, Svetlana; Lopuhaä, Hendrikp; Ruchjana, … - In: Statistica Neerlandica : journal of the Netherlands … 62 (2008) 4, pp. 482-508
Persistent link: https://www.econbiz.de/10008111416
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Seasonal and stochastic effects in commodity forward curves
Borovkova, Svetlana; Geman, Helyette - In: Review of derivatives research 9 (2006) 2, pp. 167
Persistent link: https://www.econbiz.de/10007795984
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Analysis and Modelling of Electricity Futures Prices
Borovkova, Svetlana; Geman, Helyette - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 3, pp. 1372-1372
We model electricity futures prices using a seasonal forward curve model, quantifying seasonalities by a deterministic seasonal forward premium. Stochastic features of the futures prices are contained in the stochastic forward premium: a quantity analogous to the well-known convenience yield....
Persistent link: https://www.econbiz.de/10004966112