Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Fred E. Benth, Troels S. Christensen and Victor Rohde
| Year of publication: |
2021
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|---|---|
| Authors: | Benth, Fred Espen ; Christensen, Troels Sønderby ; Rohde, Victor |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 1, p. 165-183
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| Subject: | Hedging | Multivariate Ornstein-Uhlenbeck process | risk premium | Wind power futures | Windenergie | Wind energy | Risikoprämie | Risk premium | Theorie | Theory | Derivat | Derivative | Multivariate Analyse | Multivariate analysis | Stochastischer Prozess | Stochastic process | Windenergieanlage | Wind turbine | Risiko | Risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1804606 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012424641