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On forward price modeling in power markets

Benth, Fred Espen - In: Alternative investments and strategies : credit, …, (pp. 93-122). 2010

Persistent link: https://www.econbiz.de/10008655206

A critical empirical study of three electricity spot price models

Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616

Persistent link: https://www.econbiz.de/10009687984

Pricing futures and options in electricity markets

Benth, Fred Espen; Schmeck, Maren Diane - In: The interrelationship between financial and energy markets, (pp. 233-260). 2014

Persistent link: https://www.econbiz.de/10010411140

HMM filtering and parameter estimation of an electricity spot price model

Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1043

Persistent link: https://www.econbiz.de/10008934330

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen; Cartea, Álvaro; Kiesel, Rüdiger - In: Journal of banking & finance 32 (2008) 10, pp. 2006-2021

Persistent link: https://www.econbiz.de/10003778569

Pricing forward contracts in power markets by the certainty equivalence principle : explaining the sign of the market risk premium

Benth, Fred Espen (contributor); Cartea, Álvaro (contributor) - 2006

Persistent link: https://www.econbiz.de/10003384971

Stochastic modeling of financial electricity contracts

Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 30 (2008) 3, pp. 1116-1157

Persistent link: https://www.econbiz.de/10003744845

Volatility and liquidity on high-frequency electricity futures markets : empirical analysis and stochastic modeling

Kremer, Marcel; Benth, Fred Espen; Felten, Björn; … - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-38

Persistent link: https://www.econbiz.de/10012271026

Volatility and Liquidity on High-frequency Electricity Futures Markets : Empirical Analysis and Stochastic Modeling

Kremer, Marcel - 2020

This paper investigates the relationship between volatility and liquidity on the German electricity futures market based on high-frequency intraday prices. We estimate volatility by the time-weighted realized variance acknowledging that empirical intraday prices are not equally spaced in time....

Persistent link: https://www.econbiz.de/10012848990