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Heavy tails and electricity prices
16 references·1 citing·46 second hop
Heavy tails and electricity prices (2005)Heavy tails and electricity pricesPricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…Regime jumps in electricity prices (2003)Regime jumps in electricity p…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Introduction to Time Series and Forecasting (2002)Introduction to Time Series a…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Estimating long range dependence: finite sample properties and confidence intervals (2001)Estimating long range depende…Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Nonlinear Time Series Models in Empirical Finance (2000)Nonlinear Time Series Models …The Long-Run Evolution of Energy Prices (1999)The Long-Run Evolution of Ene…The variation of certain speculative prices (1997)The variation of certain spec…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Energy Risk: Valuing and Managing Energy Derivatives (1997)Energy Risk: Valuing and Mana…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …A survey of electricity spot and futures price models for risk management applications (2021)A survey of electricity spot …The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Analysis of Financial Time Series (2006)Cross‐validation strategies for data with temporal, spatial, hierarchical, or phylogenetic structure (2016)Financial time series forecasting model based on CEEMDAN and LSTM (2018)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling the price dynamics of CO2 emission allowances (2008)CISS - A Composite Indicator of Systemic Stress in the Financial System (2010)Forecasting Stock Returns (2013)
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  • 2003Regime jumps in electricity prices

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  • 2021A survey of electricity spot and futures price models for risk management applications33 cited