Analysis and Modelling of Electricity Futures Prices
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Publication:5452747
DOI10.2202/1558-3708.1372zbMATH Open1260.91172OpenAlexW1530899164MaRDI QIDQ5452747FDOQ5452747
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
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Statistical methods; economic indices and measures (91B82) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
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
- Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming
- Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
- 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
- Title not available (Why is that?)
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