Showing 131 - 140 of 234
Persistent link: https://www.econbiz.de/10008890088
Persistent link: https://www.econbiz.de/10001862191
Persistent link: https://www.econbiz.de/10001864254
Persistent link: https://www.econbiz.de/10002021511
Persistent link: https://www.econbiz.de/10003133280
Persistent link: https://www.econbiz.de/10002727063
This paper proposes a new modelling framework for electricity forward markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in energy markets and is highly analytically tractable. We give a detailed account on the probabilistic properties of the...
Persistent link: https://www.econbiz.de/10014176935
The recent price coupling of many European electricity markets has triggered a fundamental change in the interaction of day-ahead prices, challenging additionally the modeling of the joint behavior of prices in interconnected markets. In this paper we propose a regime-switching AR-GARCH copula...
Persistent link: https://www.econbiz.de/10012963695
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10012966297
Functional data analysis (FDA) has emerged as a new area of statistical research with a wide range of applications. In this paper, we propose some functional linear models in which both the response and the covariate variables are functions. These models enable to regularize curves observed over...
Persistent link: https://www.econbiz.de/10013241889