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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
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Modelling day-ahead electricity prices
Hinz, Juri - In: Applied mathematical finance 10 (2003) 2, pp. 149-161
Persistent link: https://www.econbiz.de/10001805371
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Preismodellierung und Derivatebewertung im Strommarkt : Theorie und Empirie
Seifert, Jan M. - 2010
Persistent link: https://www.econbiz.de/10008663164
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Optimale Strategien zum Management von Elektrizitätsrisiken mit Futures : eine empirische Analyse mit multivariaten GARCH-Modellen
Rodt, Marc - 2003 - 1. Aufl.
Seit der zweiten Hälfte der 90er Jahre schreitet die Liberalisierung der europäischen Elektrizitätsmärkte voran. Damit einher geht die Gründung von Handelsplattformen für Elektrizität, an denen überwiegend Erzeuger und Händler agieren. Die Liberalisierung führt einerseits zu...
Persistent link: https://www.econbiz.de/10013433126
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Decoding restricted participation in sequential electricity markets
Knaut, Andreas; Paschmann, Martin - 2017
therefore analyze the drivers of restricted participation in the German intraday auctin which is a short-term electricity market … with quarter-hourly products. Applying a fundamental electricity market model with 15-minute temporal resolution, we … for price volatility and find that full market coupling may trigger quarter-hourly price valatility to decrease by a …
Persistent link: https://www.econbiz.de/10011666918
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A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets
Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302
Persistent link: https://www.econbiz.de/10011905725
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Risk premia in electricity forward prices
Diko, Pavel (contributor); Lawford, Steve (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10003559094
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Electricity futures price models : calibration and forecasting
Islyaev, Suren; Date, Paresh - In: European journal of operational research : EJOR 247 (2015) 1, pp. 144-154
Persistent link: https://www.econbiz.de/10011347115
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Electricity futures prices in an emissions constrained economy : evidence from European power markets
Daskalakis, George; Symeonidis, Lazaros; Markellos, … - In: The energy journal 36 (2015) 3, pp. 1-33
Persistent link: https://www.econbiz.de/10011403464
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Tail risk of electricity futures
Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012518716