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Extracting and Applying Smooth Forward Curves From Average-Based Commodity Contracts with Seasonal Variation
Benth, Fred Espen; Koekebakker, Steen; Ollmar, Fridthjof - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 52-66
Persistent link: https://www.econbiz.de/10007871190
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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/10007917052
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Stochastic modeling of financial electricity contracts
Benth, Fred Espen; Koekebakker, Steen - In: Energy economics 30 (2008) 3, pp. 1116-1158
Persistent link: https://www.econbiz.de/10008900746
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'Preface to' Stochastic Modeling of Electricity and Related Markets
Benth, Fred Espen - 2009
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is...
Persistent link: https://www.econbiz.de/10013156505
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Modeling Term Structure Dynamics in the Nordic Electricity Swap Market
Frestad, Dennis; Espen Benth, Fred; Koekebakker, Steen - In: The energy journal 31 (2010) 2, pp. 53-87
Persistent link: https://www.econbiz.de/10008400852
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Analysis and forecasting of electricity price risks with quantile factor models
Bunn, Derek W.; Andresen, Arne; Chen, Dipeng; … - In: The energy journal 37 (2016) 1, pp. 101-122
Persistent link: https://www.econbiz.de/10011437695
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Sharpe (ratio) thinking about the investment opportunity set and CAPM relationship
Zakamulin, Valeriy - In: Economics research international (2011), pp. 1-9
Persistent link: https://www.econbiz.de/10010009017
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Not all bull and bear markets are alike : insights from a five-state hidden semi-Markov model
Zakamulin, Valeriy - In: Risk management : an international journal 25 (2023) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10013490816
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Forecasting the size premium over different time horizons
Zakamulin, Valeriy - In: Journal of banking & finance 37 (2013) 3, pp. 1061-1072
Persistent link: https://www.econbiz.de/10009708710
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Dynamic asset allocation strategies based on unexpected volatility
Zakamulin, Valeriy - In: The journal of alternative investments 16 (2013/14) 4, pp. 37-50
Persistent link: https://www.econbiz.de/10010358816