Risk premia in energy markets
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Cited by:
- Hess, Markus, 2017. "Modeling positive electricity prices with arithmetic jump-diffusions," Energy Economics, Elsevier, vol. 67(C), pages 496-507.
- Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019. "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, vol. 79(C), pages 45-58.
- Brix, Anne Floor & Lunde, Asger & Wei, Wei, 2018. "A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method," Energy Economics, Elsevier, vol. 72(C), pages 560-582.
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More about this item
Keywords
Lévy semistationary process; energy market; spot price; forward price; futures; risk premia; stochastic volatility; European Energy Exchange market.;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G00 - Financial Economics - - General - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2013-02-03 (Energy Economics)
- NEP-REG-2013-02-03 (Regulation)
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