Futures pricing in electricity markets based on stable CARMA spot models
نویسندگان
چکیده
منابع مشابه
Futures pricing in electricity markets based on stable CARMA spot models
In recent years, electricity markets throughout the world have undergone massive changes due to deregulations. Extreme price volatility has forced producers and wholesale consumers to hedge not only against volume risk but also against price movements. Consequently, statistical modeling and estimation of electricity prices are an important issue for the risk management of electricity markets. W...
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We discuss theoretical properties and estimation of continuous-time ARMA (CARMA) processes, which are driven by a stable Lévy process. Such processes are very useful in a continuous-time linear stationary set-up: they have a similar structure as the widely used ARMA models, and provide all advantages of a continuous-time model. As an application we consider data from a deregulated electricity m...
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...............................................................................................................................III ACKNOWLEDGEMENTS......................................................................................................IV TABLE OF CONTENTS............................................................................................................ V LIST OF TABLES .....
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ژورنال
عنوان ژورنال: Energy Economics
سال: 2014
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2014.03.020