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Realized volatility and jump testing in the Japanese electricity spot market
Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Empirical economics : a journal of the Institute for … 58 (2020) 3, pp. 1143-1166
Persistent link: https://www.econbiz.de/10012219535
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Modelling the joint behaviour of electricity prices in interconnected markets
Christensen, Troels Sønderby; Benth, Fred Espen - In: Quantitative finance 20 (2020) 9, pp. 1441-1456
Persistent link: https://www.econbiz.de/10012295613
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Stochastic Modelling of Volatility and Inter-relationships in the Australian Electricity Markets
Wang, Joanna (Jia Jia) - 2020
To model the price and price volatilities of the Australian wholesale spot electricity markets, the univariate generalised autoregressive conditional heteroskedasticity (GARCH) models have been applied and the inter-relationships in these markets are modelled using multivariate GARCH models....
Persistent link: https://www.econbiz.de/10012843391
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Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay; Ignatieva, Ekaterina - In: Energy economics 98 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
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A stochastic latent moment model for electricity price formation
Gianfreda, Angelica; Bunn, Derek W. - In: Operations research 66 (2018) 5, pp. 1189-1203
Persistent link: https://www.econbiz.de/10011932421
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Modeling positive electricity prices with arithmetic jump-diffusions
Hess, Markus - In: Energy economics 67 (2017), pp. 496-507
Persistent link: https://www.econbiz.de/10011898003
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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
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A comparative study of factor models for different periods of the electricity spot price market
Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - In: Journal of commodity markets : JCM 36 (2024), pp. 1-29
Persistent link: https://www.econbiz.de/10015162606
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High-frequency electricity trading : empirics, fundamentals, and stochastics
Kremer, Marcel - 2021
Persistent link: https://www.econbiz.de/10013341571
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Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853
Persistent link: https://www.econbiz.de/10014228463