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Citations for "Understanding the Fine Structure of Electricity Prices"

by Hélyette Geman & Andrea Roncoroni

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  1. Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.
  2. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  3. 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.
  4. Frank Asche & Atle Oglend & Petter Osmundsen, 2013. "UK Natural Gas: Gas-Specific or Oil Driven Pricing?," CESifo Working Paper Series 4503, CESifo Group Munich.
  5. Mikkel Bennedsen, 2015. "Rough electricity: a new fractal multi-factor model of electricity spot prices," CREATES Research Papers 2015-42, Department of Economics and Business Economics, Aarhus University.
  6. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
  7. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  8. 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.
  9. 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.
  10. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  11. Niu, Shilei & Insley, Margaret, 2016. "An options pricing approach to ramping rate restrictions at hydro power plants," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 25-52.
  12. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Nomikos, Nikos & Andriosopoulos, Kostas, 2012. "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, vol. 34(4), pages 1153-1169.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, vol. 15(3), pages 217-256, October.
  24. 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.
  25. 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.
  26. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  27. Lindström, Erik & Norén, Vicke & Madsen, Henrik, 2015. "Consumption management in the Nord Pool region: A stability analysis," Applied Energy, Elsevier, vol. 146(C), pages 239-246.
  28. Díaz, Guzmán & Planas, Estefanía & Andreu, Jon & Kortabarria, Iñigo, 2015. "Joint cost of energy under an optimal economic policy of hybrid power systems subject to uncertainty," Energy, Elsevier, vol. 88(C), pages 837-848.
  29. 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.
  30. Fan, Qingju & Li, Dan, 2015. "Multifractal cross-correlation analysis in electricity spot market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 17-27.
  31. 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.
  32. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, December.
  33. 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.
  34. Asche, Frank & Osmundsen, Petter & Oglend, 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.
  35. 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.
  36. Andreas Wagner, 2014. "Residual Demand Modeling and Application to Electricity Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  37. 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.
  38. Islyaev, Suren & Date, Paresh, 2015. "Electricity futures price models: Calibration and forecasting," European Journal of Operational Research, Elsevier, vol. 247(1), pages 144-154.
  39. 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.
  40. Sandro Sapio, 2009. "Modelling the distribution of day-ahead electricity returns: a comparison," LEM Papers Series 2009/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  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. 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, revised Jun 2015.
  43. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
  44. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
  45. George Daskalakis, Lazaros Symeonidis, Raphael N. Markellos, 2015. "Electricity futures prices in an emissions constrained economy: Evidence from European power markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  46. 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.
  47. 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, October.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  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.
  53. 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.
  54. E. Nasakkala & J. Keppo, 2008. "Hydropower with Financial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 503-529.
  55. 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.
  56. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien De Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
  57. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  58. Leif Andersen, 2010. "Markov models for commodity futures: theory and practice," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 831-854.
  59. Carlo Lucheroni, 2010. "Stochastic models of resonating markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(1), pages 77-88, June.
  60. 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.
  61. 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.
  62. 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.
  63. Lorenz Schneider & Bertrand Tavin, 2015. "Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets," Papers 1506.05911, arXiv.org.
  64. 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.
  65. 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.
  66. N. K. Nomikos & O. Soldatos, 2008. "Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(1), pages 41-71.
  67. 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.
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