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A seasonal copula mixture for hedging the clean spark spread with wind power futures
Christensen, Troels Sønderby; Pircalabu, Anca; Høg, … - In: Energy economics 78 (2019), pp. 64-80
Persistent link: https://www.econbiz.de/10012159883
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On the spatial hedging effectiveness of German wind power futures for wind power generators
Christensen, Troels Sønderby; Pircalabu, Anca - In: The journal of energy markets 11 (2018) 3, pp. 71-96
Persistent link: https://www.econbiz.de/10012001939
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Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Benth, Fred Espen; Christensen, Troels Sønderby; … - In: Quantitative finance 21 (2021) 1, pp. 165-183
Persistent link: https://www.econbiz.de/10012424641
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Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk
Benth, Fred Espen - 2019
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for the wind power utilization at different wind sites, and discuss the properties...
Persistent link: https://www.econbiz.de/10012858036
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A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
Benth, Fred Espen; Pircalabu, Anca - In: Applied mathematical finance 25 (2018) 1/2, pp. 36-65
Persistent link: https://www.econbiz.de/10011959115