This document has not been cited yet.

1. Barlow, M.T. A diffusion model for electricity prices. 2002 Mathematical Finance. 12 287-298

2. Cartea, A. ; Figueroa, M.G. Pricing in electricity markets: a mean reverting jump diffusion model with seasonality. 2005 Applied Mathematical Finance. 12 313-335

3. de Jong, C. The Nature of power spikes: a regime switch approach. 2006 Studies in Nonlinear Dynamics & Econometrics. 10 -

4. De Sanctis, A. ; Mari, C. Modelling spikes in electricity markets using excitable dynamics. 2007 Physica A. 384 457-467

5. Geman, H. Commodities and Commodity Derivatives. 2005 Wiley:
   Paper not yet in RePEc: Add citation now
   

6. Geman, H. ; Roncoroni, A. Understanding the fine structure of electricity prices. 2006 Journal of Business. 79 -

7. Hamilton, J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. 1989 Econometrica. 57 357-384

8. Hamilton, J.D. Time Series Analysis. 1994 Princeton University Press:
   Paper not yet in RePEc: Add citation now
   

9. Huisman, R. ; Mahieu, R. Regime jumps in electricity prices. 2003 Energy Economics. 25 423-434

10. Janczura, J. ; Weron, R. An empirical comparison of alternate regime-switching model for electricity spot prices. 2010 Energy Economics. 32 1059-1073

11. Mari, C. Random movements of power prices in competitive markets: a hybrid model approach. 2008 Journal of Energy Markets. 1 87-103
    Paper not yet in RePEc: Add citation now
    

12. Mari, C. Regime-switching characterization of electricity prices dynamics. 2006 Physica A. 371 552-564

13. Mari, C. ; Tondini, D. Regime switches induced by supply-demand equilibrium: a model for power-prices dynamics. 2010 Physica A. 389 4819-4827

14. Mount, T.D. ; Ning, Y. ; Cai, X. Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters. 2006 Energy Economics. 28 62-80

15. Weron, R. Modeling and Forecasting Electricity Loads and Prices. 2006 John Wiley & Sons Ltd:

16. Weron, R. ; Bierbrauer, M. ; Trück, S. Modeling electricity prices: jump-diffusion and regime switching. 2004 Physica A. 336 39-48

1. The plunge in German futures prices – Analysis using a parsimonious fundamental model. (2015). Kallabis, Thomas ; Weber, Christoph ; Pape, Christian.
   In: EWL Working Papers.
   RePEc:dui:wpaper:1504.

   Full description at Econpapers || Download paper

2. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. (2014). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Hurn, Stan ; Terasvirta, Timo.
   In: NCER Working Paper Series.
   RePEc:qut:auncer:2014_01.

   Full description at Econpapers || Download paper

3. Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis. (2014). Afanasyev, Dmitriy ; Popov, Viktor ; Fedorova, Elena.
   In: MPRA Paper.
   RePEc:pra:mprapa:58827.

   Full description at Econpapers || Download paper

4. The Effect of Material Price and Product Demand Correlations on Combined Sourcing and Inventory Management. (2014). Kleber, Rainer ; Kelle, Peter ; Inderfurth, Karl.
   In: FEMM Working Papers.
   RePEc:mag:wpaper:140013.

   Full description at Econpapers || Download paper

5. Electricity price forecasting: A review of the state-of-the-art with a look into the future. (2014). Weron, Rafał.
   In: International Journal of Forecasting.
   RePEc:eee:intfor:v:30:y:2014:i:4:p:1030-1081.

   Full description at Econpapers || Download paper

6. Decision-support tool for assessing future nuclear reactor generation portfolios. (2014). Oosterlee, Cornelis ; Jain, Shashi ; Roelofs, Ferry .
   In: Energy Economics.
   RePEc:eee:eneeco:v:44:y:2014:i:c:p:99-112.

   Full description at Econpapers || Download paper

7. Calculation of a power price equilibrium. (2014). Hauser, Raphael ; Troha, Miha.
   In: Papers.
   RePEc:arx:papers:1409.6645.

   Full description at Econpapers || Download paper

8. Time-changed CIR default intensities with two-sided mean-reverting jumps. (2014). Linetsky, Vadim ; Mendoza-Arriaga, Rafael.
   In: Papers.
   RePEc:arx:papers:1403.5402.

   Full description at Econpapers || Download paper

9. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market. (2014). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Hurn, Stan ; Terasvirta, Timo.
   In: CREATES Research Papers.
   RePEc:aah:create:2014-09.

   Full description at Econpapers || Download paper

10. Specifying An Efficient Renewable Energy Feed-in Tariff. (2013). Lyons, Sean ; Farrell, Niall ; Lee, William ; Devine, Mel ; Gleeson, James .
    In: MPRA Paper.
    RePEc:pra:mprapa:49777.

    Full description at Econpapers || Download paper

11. Practical stochastic modelling of electricity prices. (2013). Lawford, Steve ; Culot, Michel ; Smeers, Yves ; Goffin, Valerie ; De Meten, Sebastien .
    In: Post-Print.
    RePEc:hal:journl:hal-01021603.

    Full description at Econpapers || Download paper

12. Long-term Memory in Electricity Prices: Czech Market Evidence. (2013). Krištoufek, Ladislav ; Lunackova, Petra .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:63:y:2013:i:5:p:407-424.

    Full description at Econpapers || Download paper

13. A model for hedging load and price risk in the Texas electricity market. (2013). Coulon, Michael ; Powell, Warren B. ; Sircar, Ronnie.
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:976-988.

    Full description at Econpapers || Download paper

14. An empirical estimation for mean-reverting coal prices with long memory. (2013). Xiao, Weilin ; Xu, Weijun ; Sun, QI.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:174-181.

    Full description at Econpapers || Download paper

15. A hybrid SETARX model for spikes in tight electricity markets. (2012). Lucheroni, Carlo.
    In: Operations Research and Decisions.
    RePEc:wut:journl:v:1:y:2012:p:13-49:id:1019.

    Full description at Econpapers || Download paper

16. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling. (2012). Weron, Rafał ; Trueck, Stefan ; Janczura, Joanna ; Wolff, Rodney.
    In: MPRA Paper.
    RePEc:pra:mprapa:39277.

    Full description at Econpapers || Download paper

17. Markov switching of the electricity supply curve and power prices dynamics. (2012). Canana, Lucianna ; Mari, Carlo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:4:p:1481-1488.

    Full description at Econpapers || Download paper

18. Forecasting spikes in electricity prices. (2012). Hurn, Stan ; Christensen, T. M. ; Lindsay, K. A..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:2:p:400-411.

    Full description at Econpapers || Download paper

19. How much should we pay for interconnecting electricity markets? A real options approach. (2012). Cartea, Álvaro ; Gonzalez-Pedraz, Carlos .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:1:p:14-30.

    Full description at Econpapers || Download paper

20. A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices. (2012). Tompaidis, Stathis ; Albanese, Claudio ; Lo, Harry.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:222:y:2012:i:2:p:361-368.

    Full description at Econpapers || Download paper

21. A new energy model to capture the behavior of energy price processes. (2012). Xiao, Weilin ; Xu, Weijun ; Sun, QI.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:5:p:1585-1591.

    Full description at Econpapers || Download paper

22. Electricity price modeling and asset valuation: a multi-fuel structural approach. (2012). Coulon, Michael ; Carmona, Rene ; Schwarz, Daniel.
    In: Papers.
    RePEc:arx:papers:1205.2299.

    Full description at Econpapers || Download paper

23. An impact assessment of electricity and emission allowances pricing in optimised expansion planning of power sector portfolios. (2011). Tolis, Athanasios I. ; Rentizelas, Athanasios A..
    In: Applied Energy.
    RePEc:eee:appene:v:88:y:2011:i:11:p:3791-3806.

    Full description at Econpapers || Download paper

24. Stochastic models of resonating markets. (2010). Lucheroni, Carlo.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:5:y:2010:i:1:p:77-88.

    Full description at Econpapers || Download paper

25. An empirical comparison of alternate regime-switching models or electricity spot prices. (2010). Weron, Rafał ; Janczura, Joanna.
    In: MPRA Paper.
    RePEc:pra:mprapa:20546.

    Full description at Econpapers || Download paper

26. Regime switches induced by supply–demand equilibrium: a model for power-price dynamics. (2010). Tondini, Daniela ; Mari, Carlo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:21:p:4819-4827.

    Full description at Econpapers || Download paper

27. A long-term/short-term model for daily electricity prices with dynamic volatility. (2010). Schlueter, Stephan .
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:1074-1081.

    Full description at Econpapers || Download paper

28. An empirical comparison of alternate regime-switching models for electricity spot prices. (2010). Weron, Rafał ; Janczura, Joanna.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:1059-1073.

    Full description at Econpapers || Download paper

29. Volatility transmission and volatility impulse response functions in European electricity forward markets. (2010). Sévi, Benoît ; LE PEN, Yannick ; Sevi, Benoit.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:4:p:758-770.

    Full description at Econpapers || Download paper

30. A simple hybrid model for power derivatives. (2009). ELLIOTT, ROBERT J. ; Lyle, Matthew R..
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:5:p:757-767.

    Full description at Econpapers || Download paper

31. A supply and demand based volatility model for energy prices. (2009). Kanamura, Takashi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:5:p:736-747.

    Full description at Econpapers || Download paper

32. Discrete time-series models when counts are unobservable. (2008). Hurn, Stan ; Christensen, T M ; Lindsay, K A.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2008-24.

    Full description at Econpapers || Download paper

33. It never rains but it pours: Modelling the persistence of spikes in electricity prices. (2008). Hurn, Stan ; Christensen, T M ; Lindsay, K A.
    In: NCER Working Paper Series.
    RePEc:qut:auncer:2008-14.

    Full description at Econpapers || Download paper

34. Volatility transmission and volatility impulse response functions in European electricity forward markets. (2008). Sévi, Benoît ; LE PEN, Yannick.
    In: Cahiers du CREDEN (CREDEN Working Papers).
    RePEc:mop:credwp:08.09.77.

    Full description at Econpapers || Download paper

35. Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity. (2008). Cartea, Álvaro ; Villaplana, Pablo .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:12:p:2502-2519.

    Full description at Econpapers || Download paper

36. Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions. (2008). Smith, Michael ; Panagiotelis, Anastasios.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:24:y:2008:i:4:p:710-727.

    Full description at Econpapers || Download paper

37. On transition probabilities of regime switching in electricity prices. (2008). Kanamura, Takashi ; macronhashi, Kazuhiko Ocombining.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:1158-1172.

    Full description at Econpapers || Download paper

38. Stochastic modeling of financial electricity contracts. (2008). Koekebakker, Steen ; Benth, Fred Espen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:1116-1157.

    Full description at Econpapers || Download paper

39. Méthodes numériques pour la valorisation doptions swings et autres problèmes sur les matières premières. (2008). Kourouvakalis, Stylianos .
    In: Economics Thesis from University Paris Dauphine.
    RePEc:dau:thesis:123456789/116.

    Full description at Econpapers || Download paper

40. Deregulation, news releases, and price discovery. (2007). Moore, William ; Christie-David, Rohan ; Chen, Manfen .
    In: Journal of Regulatory Economics.
    RePEc:kap:regeco:v:31:y:2007:i:3:p:289-312.

    Full description at Econpapers || Download paper

41. Modelling spikes in electricity markets using excitable dynamics. (2007). Mari, Carlo ; de Sanctis, Angela.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:384:y:2007:i:2:p:457-467.

    Full description at Econpapers || Download paper

42. Spot and derivative pricing in the EEX power market. (2007). Rachev, Svetlozar T. ; Truck, Stefan ; Bierbrauer, Michael ; Menn, Christian .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:11:p:3462-3485.

    Full description at Econpapers || Download paper

43. A structural model for electricity prices with spikes: Measurement of spike risk and optimal policies for hydropower plant operation. (2007). Kanamura, Takashi ; Ohashi, Kazuhiko.
    In: Energy Economics.
    RePEc:eee:eneeco:v:29:y:2007:i:5:p:1010-1032.

    Full description at Econpapers || Download paper

44. Spot Price Modeling and the Valuation of Electricity Forward Contracts: the Role of Demand and Capacity. (2007). Cartea, Álvaro ; Conde, Pablo Villaplana.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0718.

    Full description at Econpapers || Download paper

45. Valuing virtual production capacities on flow commodities. (2006). Hinz, Juri.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:64:y:2006:i:2:p:187-209.

    Full description at Econpapers || Download paper

46. Electricity derivatives and risk management. (2006). Oren, S. S. ; Deng, S. J..
    In: Energy.
    RePEc:eee:energy:v:31:y:2006:i:6:p:940-953.

    Full description at Econpapers || Download paper

47. Market price of risk implied by Asian-style electricity options. (2005). Weron, Rafał.
    In: Econometrics.
    RePEc:wpa:wuwpem:0502003.

    Full description at Econpapers || Download paper

48. A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard ; Muller, Alfred.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122.

    Full description at Econpapers || Download paper

49. Understanding Electricity Price Volatility within and across Markets. (2004). Karolyi, G. ; Goto, Mika.
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-12.

    Full description at Econpapers || Download paper

50. A Class of Marked Point Processes for Modelling Electricity Prices. (2003). Geman, Helyette ; Roncoroni, Andrea.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-03004.

    Full description at Econpapers || Download paper

Report date: 2025-10-05 16:59:06 || Missing content? Let us know