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Modelling of the Electricity Futures Market

In: Stochastic Modeling Of Electricity And Related Markets

Author

Listed:
  • Fred Espen Benth

    (University of Oslo, Norway)

  • Jūratė Šaltytė Benth

    (University of Oslo, Norway)

  • Steen Koekebakker

    (University of Agder, Norway)

Abstract

The following sections are included:The Nord Pool market and financial contractsPreparing data setsDescriptive statisticsA market model for electricity futuresPrincipal component analysisPrincipal component analysis of the total data setPrincipal component analysis for individual market segmentsEstimating a parametric multi-factor market modelSeasonal volatilityMaturity volatilitiesNormalised logreturns and heavy tailsFinal remarks

Suggested Citation

  • Fred Espen Benth & Jūratė Šaltytė Benth & Steen Koekebakker, 2008. "Modelling of the Electricity Futures Market," World Scientific Book Chapters, in: Stochastic Modeling Of Electricity And Related Markets, chapter 8, pages 203-235, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812315_0008
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