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Power spot price models with negative prices
1 references·3 citing·18 second hop
Power spot price models with negative prices (2011)Power spot price models with negative pri…Heavy-tails and regime-switching in electricity prices (2008)Heavy-tails and regime-switch…Analysis of Mean and Volatility Price Transmissions in the MIBEL and EPEX Electricity Spot Markets (2014)Analysis of Mean and Volatili…Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes (2013)Modelling Electricity Day-Ahe…Linepack storage valuation under price uncertainty (2013)Linepack storage valuation un…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Modelling electricity prices: a time change approach (2016)A rough multi-factor model of electricity spot prices (2017)Stable Paretian Models in Finance (2000)Regime jumps in electricity prices (2003)An econometric analysis of emission allowance prices (2008)Efficient estimation of Markov regime-switching models: An application to electricity spot prices (2011)De-noising option prices with the wavelet method (2012)Pricing rainfall futures at the CME (2013)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence (2022)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)
this work references cited by second hop

References

  • 2008Heavy-tails and regime-switching in electricity prices106 cited

Cited by

  • 2013Linepack storage valuation under price uncertainty36 cited
  • 2013Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes32 cited
  • 2014Analysis of Mean and Volatility Price Transmissions in the MIBEL and EPEX Electricity Spot Markets28 cited

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