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Long-Term Swings and Seasonality in Energy Markets · Study

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PreprintLong-Term Swings and Seasonality in Energy Markets

Manuel Moreno2016

OA

Preprintgreen2016

Long-Term Swings and Seasonality in Energy Markets

Manuel Moreno · Alfonso Novales · Federico Platania

22 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1977An equilibrium characterization of the term structure 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality 1998Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot 2002Modeling seasonality in agricultural commodity futures

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Details

Year2016

Typepreprint

Published2016-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.2788176

openalex_workW2997477653

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