Efecto de Restricciones VaR sobre coberturas en mercados eléctricos
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- Alfredo Trespalacios Carrasquilla & Juan Fernando Rendón & Javier Orlando Pantoja Robayo, 2012. "Efecto de Restricciones de VaR sobre Coberturas en Mercados Eléctricos," Documentos de Trabajo de Valor Público 10666, Universidad EAFIT.
References listed on IDEAS
- Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Hedging Exposure to Electricity Price Risk in a Value at Risk Framework," ERIM Report Series Research in Management ERS-2007-013-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- María Dolores Furió & Vicente Meneu, 2009. "Expectations and Forward Risk Premium in the Spanish Power Market," Working Papers. Serie AD 2009-02, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Unknown, 2005. "Forward," 2005 Conference: Slovenia in the EU - Challenges for Agriculture, Food Science and Rural Affairs, November 10-11, 2005, Moravske Toplice, Slovenia 183804, Slovenian Association of Agricultural Economists (DAES).
- Francis A. Longstaff & Ashley W. Wang, 2004. "Electricity Forward Prices: A High-Frequency Empirical Analysis," Journal of Finance, American Finance Association, vol. 59(4), pages 1877-1900, August.
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More about this item
Keywords
Electricity Market; Hedging; Derivative Instruments; VaR;All these keywords.
JEL classification:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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