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Spot and derivative pricing in the EEX power market

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  • Bierbrauer, Michael
  • Menn, Christian
  • Rachev, Svetlozar T.
  • Truck, Stefan

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  • Bierbrauer, Michael & Menn, Christian & Rachev, Svetlozar T. & Truck, Stefan, 2007. "Spot and derivative pricing in the EEX power market," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3462-3485, November.
  • Handle: RePEc:eee:jbfina:v:31:y:2007:i:11:p:3462-3485
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    References listed on IDEAS

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    3. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    4. Simonsen, Ingve, 2003. "Measuring anti-correlations in the nordic electricity spot market by wavelets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 322(C), pages 597-606.
    5. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    6. Hendrik Bessembinder & Michael L. Lemmon, 2002. "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Journal of Finance, American Finance Association, vol. 57(3), pages 1347-1382, June.
    7. Schwartz, Eduardo S, 1997. "The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-973, July.
    8. M. T. Barlow, 2002. "A Diffusion Model For Electricity Prices," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 287-298, October.
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    10. de Jong, C.M., 2005. "The Nature of Power Spikes: a regime-switch approach," ERIM Report Series Research in Management ERS-2005-052-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.
    11. Ingve Simonsen, 2001. "Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets," Papers cond-mat/0108033, arXiv.org, revised Apr 2003.
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    13. Robert S. Pindyck, 1999. "The Long-Run Evolutions of Energy Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 1-27.
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    15. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    16. 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.
    17. Huisman, Ronald & Mahieu, Ronald, 2003. "Regime jumps in electricity prices," Energy Economics, Elsevier, vol. 25(5), pages 425-434, September.
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    19. Kosater, Peter & Mosler, Karl, 2006. "Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices," Applied Energy, Elsevier, vol. 83(9), pages 943-958, September.
    20. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, University Library of Munich, Germany.
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