A critical empirical study of three electricity spot price models
Fred Espen Benth; Rüdiger Kiesel; Anna Nazarova
| Year of publication: |
2012
|
|---|---|
| Authors: | Benth, Fred Espen ; Kiesel, Rüdiger ; Nazarova, Anna |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 34.2012, 5, p. 1589-1616
|
| Subject: | Electricity spot price | Mean-reversion | Spikes | Jump-diffusion | Ornstein-Uhlenbeck process | Electricity forwards | Forward risk premium | Strompreis | Electricity price | Spotmarkt | Spot market | Risikoprämie | Risk premium | Elektrizität | Electricity | Elektrizitätswirtschaft | Electric power industry | Optionspreistheorie | Option pricing theory | Energiehandel | Energy trade | Volatilität | Volatility | Derivat | Derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009687984