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Energy price risk management

Citations

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Cited by:

  1. Lavička, Hynek & Kracík, Jiří, 2020. "Fluctuation analysis of electric power loads in Europe: Correlation multifractality vs. Distribution function multifractality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  2. Erzgräber, Hartmut & Strozzi, Fernanda & Zaldívar, José-Manuel & Touchette, Hugo & Gutiérrez, Eugénio & Arrowsmith, David K., 2008. "Time series analysis and long range correlations of Nordic spot electricity market data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6567-6574.
  3. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
  4. Katarzyna Sznajd-Weron & Józef Sznajd, 2000. "Opinion Evolution In Closed Community," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 1157-1165.
  5. Haider Ali & Faheem Aslam & Paulo Ferreira, 2021. "Modeling Dynamic Multifractal Efficiency of US Electricity Market," Energies, MDPI, vol. 14(19), pages 1-16, September.
  6. Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
  7. Rafael Bambirra & Lais Schiavo & Marina Lima & Giovanna Miranda & Iolanda Reis & Michael Cassemiro & Antônio Andrade & Fernanda Laender & Rafael Silva & Douglas Vieira & Petr Ekel, 2023. "Robust Multiobjective Decision Making in the Acquisition of Energy Assets," Energies, MDPI, vol. 16(16), pages 1-21, August.
  8. Al Janabi, Mazin A.M., 2012. "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, Elsevier, vol. 21(3), pages 131-140.
  9. Zorana Božić & Dušan Dobromirov & Jovana Arsić & Mladen Radišić & Beata Ślusarczyk, 2020. "Power Exchange Prices: Comparison of Volatility in European Markets," Energies, MDPI, vol. 13(21), pages 1-15, October.
  10. Mazin A.M. Al Janabi, 2012. "Optimal commodity asset allocation with a coherent market risk modeling," Review of Financial Economics, John Wiley & Sons, vol. 21(3), pages 131-140, September.
  11. Rafal Weron, 2001. "Measuring long-range dependence in electricity prices," Papers cond-mat/0103621, arXiv.org.
  12. Fianu, Emmanuel Senyo & Ahelegbey, Daniel Felix & Grossi, Luigi, 2022. "Modeling risk contagion in the Italian zonal electricity market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 656-679.
  13. Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron, 2014. "Modelling price spikes in electricity markets - the impact of load, weather and capacity," HSC Research Reports HSC/14/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  14. repec:vuw:vuwscr:19001 is not listed on IDEAS
  15. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  16. Park, S.C. & Jin, Y.G. & Song, H.Y. & Yoon, Y.T., 2015. "Designing a critical peak pricing scheme for the profit maximization objective considering price responsiveness of customers," Energy, Elsevier, vol. 83(C), pages 521-531.
  17. Samudio-Carter, Cristóbal & Vargas, Alberto & Albarracín-Sánchez, Ricardo & Lin, Jeremy, 2019. "Mitigation of price spike in unit commitment: A probabilistic approach," Energy Economics, Elsevier, vol. 80(C), pages 1041-1049.
  18. Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał, 2000. "Property insurance loss distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(1), pages 269-278.
  19. Rowan Adams & Tooraj Jamasb, 2016. "Optimal Power Generation Portfolios with Renewables: An Application to the UK," Working Papers EPRG 1620, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
  20. Joanna Nowicka-Zagrajek & Rafal Weron, 2002. "Modeling electricity loads in California: ARMA models with hyperbolic noise," HSC Research Reports HSC/02/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  21. 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.
  22. Mehmet Sait S ylemez, 2012. "Effect of the Energy Price Rate on Insulation Applications," International Journal of Energy Economics and Policy, Econjournals, vol. 2(3), pages 103-107.
  23. Evans, Lewis & Meade, Richard, 2001. "Economic Analysis of Financial Transmission Rights (FTRs) with Specific Reference to the Transpower Proposal for New Zealand," Working Paper Series 19001, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  24. Rypdal, Martin & Løvsletten, Ola, 2013. "Modeling electricity spot prices using mean-reverting multifractal processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 194-207.
  25. Evans, Lewis & Meade, Richard, 2001. "Economic Analysis of Financial Transmission Rights (FTRs) with Specific Reference to the Transpower Proposal for New Zealand," Working Paper Series 3902, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  26. Naito, Yuta & Takashima, Ryuta & Kimura, Hiroshi & Madarame, Haruki, 2010. "Evaluating replacement project of nuclear power plants under uncertainty," Energy Policy, Elsevier, vol. 38(3), pages 1321-1329, March.
  27. Sandro Sapio & Agnieszka Wylomanska, 2008. "The impact of forward trading on the spot power price volatility with Cournot competition," HSC Research Reports HSC/08/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  28. Martin Rypdal & Ola L{o}vsletten, 2012. "Modeling electricity spot prices using mean-reverting multifractal processes," Papers 1201.6137, arXiv.org.
  29. Miśkiewicz, J. & Ausloos, M., 2004. "A logistic map approach to economic cycles. (I). The best adapted companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 206-214.
  30. Kamimura, A. & Guerra, S.M.G., 2001. "Economic fluctuations and possible non-linear relations between macroeconomic variables for Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 291(1), pages 542-552.
  31. Berrada, Asmae & Loudiyi, Khalid & Zorkani, Izeddine, 2017. "Profitability, risk, and financial modeling of energy storage in residential and large scale applications," Energy, Elsevier, vol. 119(C), pages 94-109.
  32. Kracík, Jiří & Lavička, Hynek, 2016. "Fluctuation analysis of high frequency electric power load in the Czech Republic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 951-961.
  33. Prokopczuk, Marcel & Rachev, Svetlozar T. & Schindlmayr, Gero & Truck, Stefan, 2007. "Quantifying risk in the electricity business: A RAROC-based approach," Energy Economics, Elsevier, vol. 29(5), pages 1033-1049, September.
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