We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index …

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index … new model achieves higher forecasting performance compared to a standard DCC model. -- electricity futures ; dynamic …

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing …/coherence evolution and hedge ratio analysis, on a time-frequency-scale approach (discrete and continuous), between electricity spot and … coherence and to statistical relationships between spot and futures electricity series. The instability found in various aspects …

We derive risk-neutral option price formulas for plain-vanilla and exotic electricity futures derivatives on the basis … information filtration. In this insider trading context, we also correlate electricity prices with outdoor temperature and treat a …

Many electricity markets exhibit an oligopolistic structure with market participants whose individual trading … activities may shift prices essentially. In this context, the question of how to optimally liquidate an existing electricity … relevance for energy risk management. In this article, we develop a tractable market impact model for electricity futures prices …

electricity market (SEM). We utilized several forecasting approaches ranging from standard conditional volatility models to …Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased …

Short-term electricity price forecasting has received considerable attention in recent years. Despite this increased … empirical analysis to evaluate the short-term price forecasting dynamics of different regions in the Swedish electricity market … (SEM). We utilized several forecasting approaches ranging from standard conditional volatility models to wavelet …