Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk

DOI10.1080/1350486X.2020.1725582zbMath1433.91102OpenAlexW3005879967MaRDI QIDQ5217499

Rüdiger Kiesel, Cord Harms

Publication date: 24 February 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2020.1725582

zbMATH Keywords

value at riskparameter riskvirtual power plantelectricity modelstructural electricity model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

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• Electricity price modeling and asset valuation: a multi-fuel structural approach
• Capturing parameter risk with convex risk measures
• Operational Risk Management
• Asymptotic distribution theory for the kalman filter state estimator
• Model Uncertainty in Commodity Markets
• The EM Algorithm and Extensions, 2E
• Asymptotic Statistics
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

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