Joint econometric modeling of spot electricity prices, forwards and options

DOI10.1007/s11147-012-9075-zzbMath1256.91038OpenAlexW2013152323MaRDI QIDQ1937840

O. Féron, Alain Monfort

Publication date: 1 February 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://crest.science/RePEc/wpstorage/2011-12.pdf

zbMATH Keywords

spikesstochastic discount factorcar processeselectricity derivative pricingKitagawa-Hamilton filter

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Cites Work

• Econometric specification of stochastic discount factor models
• Dynamic linear models with Markov-switching
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Structural Laplace Transform and Compound Autoregressive Models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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