Structural electricity models and asymptotically normal estimators to quantify parameter risk

DOI10.1080/1350486X.2020.1725582MaRDI QIDQ5217499zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1917657 (Why is no real title available?)
• Asymptotic Statistics
• Asymptotic distribution theory for the kalman filter state estimator
• Capturing parameter risk with convex risk measures
• Coherent stress testing. A Bayesian approach to the analysis of financial stress
• Econometric analysis of cross section and panel data.
• Electricity price modeling and asset valuation: a multi-fuel structural approach
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Model uncertainty in commodity markets
• The EM Algorithm and Extensions, 2E

Cited in

(1)

• Modeling risk contagion in the Italian zonal electricity market

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