Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling
Marcel Kremer, Fred Espen Benth, Björn Felten, Rüdiger Kiesel
| Year of publication: |
2020
|
|---|---|
| Authors: | Kremer, Marcel ; Benth, Fred Espen ; Felten, Björn ; Kiesel, Rüdiger |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 23.2020, 4, p. 1-38
|
| Subject: | Volatility | liquidity | electricity futures | high-frequency prices | stochastic modeling | Monte Carlo simulation | time-weighted realized variance | Volatilität | Derivat | Derivative | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Strompreis | Electricity price | Energiehandel | Energy trade | Elektrizität | Electricity | Rohstoffderivat | Commodity derivative | Marktliquidität | Market liquidity | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024920500272 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012271026