Analysis and Modelling of Electricity Futures Prices

DOI10.2202/1558-3708.1372MaRDI QIDQ5452747zbMATH OpenOpenAlexFDO

Authors Svetlana Borovkova, Helyette Geman

Publication date 4 April 2008

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1372

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

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Cited in

(13)

• Volatility and liquidity on high-frequency electricity futures markets: empirical analysis and stochastic modeling
• On the construction of hourly price forward curves for electricity prices
• Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
• Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
• Automated electricity price forecast using combined models
• On the seasonality in the implied volatility of electricity options
• Modelling the Structure of Long-Term Electricity Forward Prices at Nord Pool
• Joint Modelling of Gas and Electricity Spot Prices
• Electricity futures price models: calibration and forecasting
• A two-factor model for the electricity forward market
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Seasonal and stochastic effects in commodity forward curves
• scientific article; zbMATH DE number 5837263 (Why is no real title available?)

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