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Common and unique factors influencing daily swap returns in the Nordic electricity market, 1997 - 2005

Frestad, Dennis - In: Energy economics 30 (2008) 3, pp. 1081-1097

Persistent link: https://www.econbiz.de/10003744838

Correlations among forward returns in the Nordic electricity market

Frestad, Dennis - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 589-603

Persistent link: https://www.econbiz.de/10003899483

Correlations among Forward Returns in the Nordic Electricity Market

Frestad, Dennis - 2009

I analyze empirical correlations of electricity forward returns from the perspective of a random field model that specifies the correlations in terms of the temporal separation between forward maturities. It turns out that temporal separation cannot fully account for the empirical forward return...

Persistent link: https://www.econbiz.de/10013153493

On forward price modeling in power markets

Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010

Persistent link: https://www.econbiz.de/10008655206

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021

Persistent link: https://www.econbiz.de/10003778569

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen (contributor); Cartea, Álvaro (contributor) - 2006

Persistent link: https://www.econbiz.de/10003384971

Modelling electricity forward markets by ambit fields

Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010

Persistent link: https://www.econbiz.de/10008651704

An empirical study of the information premium on electricity markets

Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger - In: Energy economics 36 (2013), pp. 55-77

Persistent link: https://www.econbiz.de/10009724766

A critical empirical study of three electricity spot price models

Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616

Persistent link: https://www.econbiz.de/10009687984

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

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