Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
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- Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, pages 217-256.
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More about this item
KeywordsElectricity derivative pricing; spikes; Car processes; stochastic discount factor; Kitagawa-Hamilton filter;
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
- L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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