SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
10 references·9 citing·32 second hop
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market (2004)Modeling highly volatile and seasonal mar…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Stable Paretian Models in Finance (2000)Stable Paretian Models in Fin…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …Determination of the Hurst exponent by use of wavelet transforms (1998)Determination of the Hurst ex…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Energy Risk: Valuing and Managing Energy Derivatives (1997)Energy Risk: Valuing and Mana…96/01145 Managing energy price risk (1996)96/01145 Managing energy pric…Simulation and Chaotic Behaviour of α-Stable Stochastic Processes. (1995)Simulation and Chaotic Behavi…Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behavi…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Electricity price modelling with stochastic volatility and jumps: An empirical investigation (2021)Electricity price modelling w…On time-varying predictability of emerging stock market returns (2016)On time-varying predictabilit…Modeling spot price dependence in Australian electricity markets with applications to risk management (2015)Modeling spot price dependenc…Electricity futures price models: Calibration and forecasting (2015)Electricity futures price mod…Model based Monte Carlo pricing of energy and temperature Quanto options (2012)Model based Monte Carlo prici…Volatility and Volume Effects in European Electricity Spot Markets (2010)Volatility and Volume Effects…HMM filtering and parameter estimation of an electricity spot price model (2010)HMM filtering and parameter e…Heavy tails and electricity prices (2005)Heavy tails and electricity p…On detecting and modeling periodic correlation in financial data (2004)On detecting and modeling per…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)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (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)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)13 Financial applications of stable distributions (1996)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Series Representations of Lévy Processes from the Perspective of Point Processes (2001)A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)Modeling Financial Data with Stable Distributions (2003)Measuring anti-correlations in the nordic electricity spot market by wavelets (2003)Wavelet and rescaled range approach for the Hurst coefficient for short and long time series (2006)Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series (2010)Measuring Market Risk (2005)Institutional Investors and Stock Market Volatility (2006)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Oil Futures Prices in a Production Economy with Investment Constraints (2009)Forecasting petroleum futures markets volatility: The role of regimes and market conditions (2010)
this work references cited by second hop

References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2000Stable Paretian Models in Finance718 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 1993Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes490 cited
  • 1997Energy Risk: Valuing and Managing Energy Derivatives427 cited
  • 1995Simulation and Chaotic Behaviour of α-Stable Stochastic Processes.278 cited
  • 1998Determination of the Hurst exponent by use of wavelet transforms277 cited
  • 199696/01145 Managing energy price risk140 cited

Cited by

  • 2004On detecting and modeling periodic correlation in financial data85 cited
  • 2015Modeling spot price dependence in Australian electricity markets with applications to risk management81 cited
  • 2010HMM filtering and parameter estimation of an electricity spot price model61 cited
  • 2015Electricity futures price models: Calibration and forecasting40 cited
  • 2012Model based Monte Carlo pricing of energy and temperature Quanto options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

35 cited
  • 2005Heavy tails and electricity prices34 cited
  • 2010Volatility and Volume Effects in European Electricity Spot Markets30 cited
  • 2016On time-varying predictability of emerging stock market returns28 cited
  • 2021Electricity price modelling with stochastic volatility and jumps: An empirical investigation28 cited