IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Understanding the Fine Structure of Electricity Prices"

by H�lyette Geman & Andrea Roncoroni

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Mari, Carlo & Cananà, Lucianna, 2012. "Markov switching of the electricity supply curve and power prices dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1481-1488.
  2. Sandro Sapio, 2012. "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
  3. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
  4. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  5. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien De Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
  6. Marossy, Zita, 2011. "A villamos energia áralakulásának egy új modellje
    [A new model for price movement in electric power]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 253-274.
  7. Coulon, Michael & Powell, Warren B. & Sircar, Ronnie, 2013. "A model for hedging load and price risk in the Texas electricity market," Energy Economics, Elsevier, vol. 40(C), pages 976-988.
  8. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University.
  9. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
  10. Frank Asche & Atle Oglend & Petter Osmundsen, 2013. "UK Natural Gas: Gas-Specific or Oil Driven Pricing?," CESifo Working Paper Series 4503, CESifo Group Munich.
  11. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
  12. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  13. Silvana Musti & Viviana Fanelli, 2008. "Modelling electricity forward curve dynamics in the Italian market," Quaderni DSEMS 20-2008, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  14. Benth, Fred Espen & Kiesel, Rüdiger & Nazarova, Anna, 2012. "A critical empirical study of three electricity spot price models," Energy Economics, Elsevier, vol. 34(5), pages 1589-1616.
  15. Malo, Pekka, 2009. "Modeling electricity spot and futures price dependence: A multifrequency approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4763-4779.
  16. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
  17. Féron, Olivier & Monfort, Alain, 2012. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Economics Papers from University Paris Dauphine 123456789/11530, Paris Dauphine University.
  18. Tiziano De Angelis & Giorgio Ferrari & John Moriarty, 2014. "A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries," Papers 1405.2442, arXiv.org, revised Nov 2014.
  19. Fusai, Gianluca & Marena, Marina & Roncoroni, Andrea, 2008. "Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2033-2045, October.
  20. Albanese, Claudio & Lo, Harry & Tompaidis, Stathis, 2012. "A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices," European Journal of Operational Research, Elsevier, vol. 222(2), pages 361-368.
  21. Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2007. "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices," MPRA Paper 4711, University Library of Munich, Germany.
  22. Cartea, Álvaro & Villaplana, Pablo, 2008. "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2502-2519, December.
  23. Nomikos, Nikos & Andriosopoulos, Kostas, 2012. "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, vol. 34(4), pages 1153-1169.
  24. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 103-122.
  25. Chan, Kam Fong & Gray, Philip & van Campen, Bart, 2008. "A new approach to characterizing and forecasting electricity price volatility," International Journal of Forecasting, Elsevier, vol. 24(4), pages 728-743.
  26. Albanese, Claudio & Lo, Harry & Stathis, Tompaidis, 2006. "A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices," MPRA Paper 5245, University Library of Munich, Germany.
  27. Erlwein, Christina & Benth, Fred Espen & Mamon, Rogemar, 2010. "HMM filtering and parameter estimation of an electricity spot price model," Energy Economics, Elsevier, vol. 32(5), pages 1034-1043, September.
  28. Kalczynski, Pawel J., 2012. "A discrete model for optimal operation of fossil-fuel generators of electricity," European Journal of Operational Research, Elsevier, vol. 216(3), pages 679-686.
  29. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market," Energy Economics, Elsevier, vol. 32(2), pages 302-312, March.
  30. T M Christensen & A S Hurn & K A Lindsay, 2008. "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series 25, National Centre for Econometric Research.
  31. Carlo Lucheroni, 2010. "Stochastic models of resonating markets," Journal of Economic Interaction and Coordination, Springer, vol. 5(1), pages 77-88, June.
  32. Xun Li & Zhenyu Wu, 2006. "A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets," Annals of Finance, Springer, vol. 2(2), pages 179-205, March.
  33. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Forecasting electricity prices: The impact of fundamentals and time-varying coefficients," International Journal of Forecasting, Elsevier, vol. 24(4), pages 764-785.
  34. Maria B. Chiarolla & Giorgio Ferrari & Gabriele Stabile, 2014. "Optimal Dynamic Procurement Policies for a Storable Commodity with L\'evy Prices and Convex Holding Costs," Papers 1409.0665, arXiv.org.
  35. Sévi, Benoît & Le Pen, Yannick, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Economics Papers from University Paris Dauphine 123456789/5450, Paris Dauphine University.
  36. Ullrich, Carl J., 2012. "Realized volatility and price spikes in electricity markets: The importance of observation frequency," Energy Economics, Elsevier, vol. 34(6), pages 1809-1818.
  37. Kostas Andriosopoulos & Nikos Nomikos, 2012. "Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach," RSCAS Working Papers 2012/47, European University Institute.
  38. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
  39. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
  40. Radu Porumb & Petru Postolache & George Serițan & Ramona Vatu & Oana Ceaki, 2013. "Load profiles analysis for electricity market," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 1(2), pages 30-38, December.
  41. Pirrong, Craig & Jermakyan, Martin, 2008. "The price of power: The valuation of power and weather derivatives," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2520-2529, December.
  42. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
  43. Frank Asche & Atle Oglend & Petter Osmundsen, 2015. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," CESifo Working Paper Series 5232, CESifo Group Munich.
  44. Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
  45. Jan Seifert & Marliese Uhrig-Homburg, 2007. "Modelling jumps in electricity prices: theory and empirical evidence," Review of Derivatives Research, Springer, vol. 10(1), pages 59-85, January.
  46. Asche, Frank & Osmundsen, Petter & Øglend, Atle, 2015. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," UiS Working Papers in Economics and Finance 2015/4, University of Stavanger.
  47. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  48. Daskalakis, George & Markellos, Raphael N., 2009. "Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext," Energy Policy, Elsevier, vol. 37(7), pages 2594-2604, July.
  49. Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Balancing energy strategies in electricity portfolio management," Energy Economics, Elsevier, vol. 33(1), pages 2-11, January.
  50. Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 13-49.
  51. Contreras, Javier & Rodríguez, Yeny E., 2014. "GARCH-based put option valuation to maximize benefit of wind investors," Applied Energy, Elsevier, vol. 136(C), pages 259-268.
  52. T M Christensen & A. S. Hurn & K A Lindsay, 2008. "Discrete time-series models when counts are unobservable," NCER Working Paper Series 35, National Centre for Econometric Research.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.