A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
Publication:4555165
DOI10.1080/14697688.2017.1307511zbMath1402.91728OpenAlexW2590758858MaRDI QIDQ4555165
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1307511
hedgingenergy derivativesmathematical financecopula vinesspot electricity priceswind power production
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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Cites Work
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