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Electricity futures prices : time varying sensitivity to fundamentals

Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; … - 2014

Persistent link: https://www.econbiz.de/10010357599

Electricity Futures Prices : Time Varying Sensitivity to Fundamentals

Fleten, Stein-Erik - 2016

This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the … marginal costs of production, we argue that the relation between electricity futures prices and futures prices of underlying … model that linearly relates electricity futures prices to the marginal costs of production and calculate the log …

Persistent link: https://www.econbiz.de/10013006138

High-dimensional statistical learning techniques for time-varying limit order book networks

Chen, Shi; Härdle, Wolfgang; Schienle, Melanie - 2021

This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...

Persistent link: https://www.econbiz.de/10012614016

Factor Glut in Asset Pricing through a Modern Optimization Lens

Bakshi, Gurdip; Christensen, Timothy; Crosby, John; … - 2023

This paper addresses questions regarding the dimensionality of the stochastic discount factor and the selection of the best factors that enter it. We analyze these questions theoretically and empirically with a novel methodology which performs both (i) estimation of factor loadings and (ii) best...

Persistent link: https://www.econbiz.de/10014350213

Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management

Ignatieva, Ekaterina - 2012

Persistent link: https://www.econbiz.de/10009548356

Robust estimation of integrated variance and quarticity under flat price and no trading bias

Schulz, Frowin C. - 2010 - 2nd version: August 7, 2010

. Additionally, we examine the new approach empirically with a dataset of electricity forward contracts traded on the Nord Pool … ; Zero-Returns ; Price Jumps ; Robust Estimation ; High-Frequency Data ; Electricity Forward Contract …