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Long-Term Swings and Seasonality in Energy Markets
16 references·0 citing·45 second hop
Long-Term Swings and Seasonality in Energy Markets (2016)Long-Term Swings and Seasonality in Energ…Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2013)Volatility forecasting and ri…Modelling Electricity Prices: International Evidence* (2011)Modelling Electricity Prices:…Modelling spikes and pricing swing options in electricity markets (2009)Modelling spikes and pricing …Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007)Spot Price Modeling and the V…Forecasting time series with multiple seasonal patterns (2007)Forecasting time series with …Soybean Inventory and Forward Curve Dynamics (2005)Soybean Inventory and Forward…Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Pricing in Electricity Market…Modeling seasonality in agricultural commodity futures (2002)Modeling seasonality in agric…Energy futures prices: term structure models with Kalman filter estimation (2002)Energy futures prices: term s…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot (1998)Valuation of Commodity Future…Trends, Cycles and Autoregressions (1997)Trends, Cycles and Autoregres…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Time Series Analysis: Forecasting and Control (1977)Trends and random walks in macroeconmic time series (1982)Detrending, stylized facts and the business cycle (1993)A comparative study of autoregressive neural network hybrids (2005)On suboptimality of the Hodrick–Prescott filter at time series endpoints (2005)Industrial electricity demand for Turkey: A structural time series analysis (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Commodity futures and market efficiency (2013)Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018)Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness (2020)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)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Theory of the Term Structure of Interest Rates (1985)Evaluating Natural Resource Investments (1985)Oil Price Uncertainty (2010)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)The United States Department of Agriculture (1912)Investment under Uncertainty (1994)A selected review of agricultural commodity futures and options markets (2004)AnN‐factor Gaussian model of oil futures prices (2006)The valuation of multidimensional American real options using the LSM simulation method (2006)Option pricing when underlying stock returns are discontinuous (1976)Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates (1998)Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis (2006)Investment Under Uncertainty. (1994)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Equilibrium Forward Curves for Commodities (2000)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Econometric Models and Economic Forecasts (1990)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Market price of risk implied by Asian-style electricity options and futures (2007)Stochastic modeling of financial electricity contracts (2007)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality473 cited
  • 1998Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot263 cited
  • 2002Modeling seasonality in agricultural commodity futures248 cited
  • 2013Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory222 cited
  • 1997Trends, Cycles and Autoregressions190 cited
  • 2007Forecasting time series with multiple seasonal patterns189 cited
  • 2011Modelling Electricity Prices: International Evidence*184 cited
  • 2005Soybean Inventory and Forward Curve Dynamics157 cited
  • 2007Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity146 cited

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2002
Energy futures prices: term structure models with Kalman filter estimation
139 cited
  • 2009Modelling spikes and pricing swing options in electricity markets112 cited
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