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A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method

Brix, Anne Floor; Lunde, Asger; Wei, Wei - In: Energy economics 72 (2018), pp. 560-582

Persistent link: https://www.econbiz.de/10011972455

Productivity, Energy Prices, and the Great Moderation : A New Link

Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - 2014

volatility of output and its components. Specifically, the change in the joint stochastic process accounts for close to 70 … percent of the moderation in output volatility …

Persistent link: https://www.econbiz.de/10014048967

Time-varying partial-directed coherence approach to forecast global energy prices with stochastic volatility model

Dhifaoui, Zouhaier; Jabeur, Sami Ben; Khalfaoui, Rabeh; … - In: Journal of forecasting 42 (2023) 8, pp. 2292-2306

Persistent link: https://www.econbiz.de/10014432894

Modelling energy spot prices : empirical evidence from NYMEX

Nomikos, Nikos K.; Andriosopoulos, Kostas - In: Energy economics 34 (2012) 4, pp. 1153-1169

Persistent link: https://www.econbiz.de/10009688111

Productivity, energy prices and the great moderation : a new link

Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - In: Review of economic dynamics 13 (2010) 3, pp. 715-724

Persistent link: https://www.econbiz.de/10008758898

Productivity, energy prices, and the great moderation : a new link

Dhawan, Rajeev (contributor); Jeske, Karsten (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003732175

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

On the Brazilian fuel pricing policy : a Gaussian factor model approach

Aiube, Fernando Antônio Lucena - In: Applied economics 52 (2020) 8, pp. 839-850

Persistent link: https://www.econbiz.de/10012197470

The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach

Schmeck, Maren Diane; Schwerin, Stefan - In: Risks : open access journal 9 (2021) 5, pp. 1-19

In this paper we study the effect that mean-reverting components in the arithmetic dynamics of electricity spot price have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the price of electricity. We show that for sufficiently large...

Persistent link: https://www.econbiz.de/10012597100

Sentiment and energy price volatility : a nonlinear high frequency analysis

Jawadi, Fredj; Bourghelle, David; Rozin, Philippe; … - In: Energy economics 133 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015048288