Futures pricing in electricity markets based on stable CARMA spot models

Fred Espen Benth; Claudia Klüppelberg; Gernot Müller; Linda Vos

Year of publication:	2014
Authors:	Benth, Fred Espen ; Klüppelberg, Claudia ; Müller, Gernot ; Vos, Linda
Published in:	Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 44.2014, p. 392-406
Subject:	CARMA model \| Electricity spot prices \| Electricity futures prices \| Continuous time linear model \| Lévy process \| Stable CARMA process \| Risk premium \| Robust filter \| Strompreis \| Electricity price \| Theorie \| Theory \| Elektrizität \| Electricity \| Spotmarkt \| Spot market \| Risikoprämie \| Stochastischer Prozess \| Stochastic process \| Derivat \| Derivative \| Energiehandel \| Energy trade \| Rohstoffderivat \| Commodity derivative \| Energiemarkt \| Energy market \| Elektrizitätswirtschaft \| Electric power industry \| Zeitreihenanalyse \| Time series analysis