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Optimal bidding in hourly and quarter-hourly electricity price auctions : trading large volumes of power with market impact and transaction costs
Narajewski, Michał; Ziel, Florian - In: Energy economics 110 (2022), pp. 1-28
Persistent link: https://www.econbiz.de/10013349916
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Application of non-linear time series models to power risk management: a case study for Germany
Kosater, Peter (contributor) - 2006
Persistent link: https://www.econbiz.de/10003494301
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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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Modelling electricity day-ahead prices by multivariate Lévy
Veraart, Almut E. D.; Veraart, A. M. - 2012
Persistent link: https://www.econbiz.de/10009524068
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Volatility-price relationships in power exchanges : a demand-supply analysis
Sapio, Sandro (contributor) - 2008
The evidence of volatility-price dependence observed in previous works (Karakatsani and Bunn 2004; Bottazzi, Sapio and … Secchi 2005; Simonsen 2005) suggests that there is more to volatility than simply spikes. Volatility is found to be … NordPool. Prompted by these observations, this paper aims to understand whether volatility-price patterns can be mapped into …
Persistent link: https://www.econbiz.de/10003746245
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Bepreisung und Risikomanagement von Stromportfolien
Bart, Gregor - 2012
Persistent link: https://www.econbiz.de/10010361189
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Energy Trading and Risk Management
Müsgens, Felix; Bade, Alexander - 2024
This book offers important insights into the intricacies of energy trading and risk management to students and professionals in the liberalized electricity and natural gas markets. In its opening chapter, the book delves into fundamental concepts, including price formation on wholesale markets....
Persistent link: https://www.econbiz.de/10014631735
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On the estimation of extreme values for risk assessment and management : the ACER method
Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; … - In: International journal of business 20 (2015) 1, pp. 33-51
Persistent link: https://www.econbiz.de/10010520743
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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
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Hedging strategies in energy markets : the case of electricity retailers
Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Energy economics 51 (2015), pp. 503-509
Persistent link: https://www.econbiz.de/10011564922