Higher moments in the fundamental specification of electricity forward prices
Angelica Gianfreda, Giacomo Scandolo and Derek W. Bunn
| Year of publication: |
2022
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|---|---|
| Authors: | Gianfreda, Angelica ; Scandolo, Giacomo ; Bunn, Derek W. |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 11, p. 2063-2078
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| Subject: | Electricity demand | Electricity prices | Forward risk premium | Kurtosis | Monte Carlo simulations | Skew-t distribution | Student-t distribution | Strompreis | Electricity price | Risikoprämie | Risk premium | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Elektrizität | Electricity | Statistische Verteilung | Statistical distribution | Elektrizitätswirtschaft | Electric power industry | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2119882 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490922