Structural electricity models and asymptotically normal estimators to quantify parameter risk

DOI10.1080/1350486X.2020.1725582zbMATH Open1433.91102OpenAlexW3005879967MaRDI QIDQ5217499FDOQ5217499

Authors: Cord Harms, Rüdiger Kiesel 

Publication date: 24 February 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2020.1725582

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zbMATH Keywords

value at riskparameter riskvirtual power plantelectricity modelstructural electricity model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Econometric analysis of cross section and panel data.
• The EM Algorithm and Extensions, 2E
• Asymptotic Statistics
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Electricity price modeling and asset valuation: a multi-fuel structural approach
• Capturing parameter risk with convex risk measures
• Asymptotic distribution theory for the kalman filter state estimator
• Title not available (Why is that?)
• Model uncertainty in commodity markets
• Coherent stress testing. A Bayesian approach to the analysis of financial stress

Cited In (1)

• Modeling risk contagion in the Italian zonal electricity market

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