1. Enhancing electricity price forecasting accuracy: A novel filtering strategy for improved out-of-sample predictions. (2025). Cerasa, Andrea ; Zani, Alessandro.
   In: Applied Energy.
   RePEc:eee:appene:v:383:y:2025:i:c:s030626192500087x.

   Full description at Econpapers || Download paper

2. Penalized Convex Estimation in Dynamic Location-Scale models. (2024). Chentoufi, Reda Alami.
   In: MPRA Paper.
   RePEc:pra:mprapa:123283.

   Full description at Econpapers || Download paper

3. Assessing the value and risk of renewable PPAs. (2024). Ras-Barrosa, Oliver ; Pombo-Romero, Julio ; Vzquez, Carlos.
   In: Energy Economics.
   RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324005693.

   Full description at Econpapers || Download paper

4. Optimal trading with regime switching: Numerical and analytic techniques applied to valuing storage in an electricity balancing market. (2024). Duck, Peter ; Johnson, Paul ; Szabo, David Zoltan.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:319:y:2024:i:2:p:611-624.

   Full description at Econpapers || Download paper

5. Analyzing and forecasting electricity price using regime‐switching models: The case of New Zealand market. (2023). Zhang, Wenjun ; Wichitaksorn, Nuttanan ; Kapoor, Gaurav.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:42:y:2023:i:8:p:2011-2026.

   Full description at Econpapers || Download paper

6. Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes. (2023). Noorani, Idin ; Mehrdoust, Farshid.
   In: Computational Economics.
   RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10232-4.

   Full description at Econpapers || Download paper

7. Regime switching model estimation: spectral clustering hidden Markov model. (2021). Li, Yuying ; Xu, Weidong ; Zheng, Kai.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:303:y:2021:i:1:d:10.1007_s10479-019-03140-2.

   Full description at Econpapers || Download paper

8. OLS Estimation of Markov switching VAR models: asymptotics and application to energy use. (2021). Cavicchioli, Maddalena.
   In: AStA Advances in Statistical Analysis.
   RePEc:spr:alstar:v:105:y:2021:i:3:d:10.1007_s10182-020-00383-4.

   Full description at Econpapers || Download paper

9. X-Model: Further Development and Possible Modifications. (2020). Kulakov, Sergei.
   In: Forecasting.
   RePEc:gam:jforec:v:2:y:2020:i:1:p:2-35:d:315975.

   Full description at Econpapers || Download paper

10. Seasonal patterns of global oil consumption: Implications for long term energy policy. (2020). Inchauspe, Julian ; Park, Jason.
    In: Journal of Policy Modeling.
    RePEc:eee:jpolmo:v:42:y:2020:i:3:p:536-556.

    Full description at Econpapers || Download paper

11. Fast calibration of two-factor models for energy option pricing. (2020). de Nicolao, Giuseppe ; Fabbiani, Emanuele ; Marziali, Andrea.
    In: Papers.
    RePEc:arx:papers:1809.03941.

    Full description at Econpapers || Download paper

12. Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill. (2019). Weron, Rafał ; Trueck, Stefan ; Truck, Stefan ; Maryniak, Pawe.
    In: Energy Economics.
    RePEc:eee:eneeco:v:79:y:2019:i:c:p:45-58.

    Full description at Econpapers || Download paper

13. Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2019). Ojea Ferreiro, Javier.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20192296.

    Full description at Econpapers || Download paper

14. Anticipating electricity prices for future needs – Implications for liberalised retail markets. (2018). Allan, Tian Sheng ; le Ng, Jia.
    In: Applied Energy.
    RePEc:eee:appene:v:212:y:2018:i:c:p:244-264.

    Full description at Econpapers || Download paper

15. Weather derivatives pricing using regime switching model. (2018). Xiangfeng, Yang ; Martin, Singull ; Emmanuel, Evarest ; Fredrik, Berntsson.
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:24:y:2018:i:1:p:13-27:n:2.

    Full description at Econpapers || Download paper

16. The impact of market coupling on Hungarian and Romanian electricity markets: Evidence from the regime-switching model. (2017). Koban, Vika.
    In: Energy & Environment.
    RePEc:sae:engenv:v:28:y:2017:i:5-6:p:621-638.

    Full description at Econpapers || Download paper

17. How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

    Full description at Econpapers || Download paper

18. Forecasting MISO Electricity Prices: A Threshold Autoregressive Approach with Load Data. (2017). Waters, George ; Tasneem, Faria.
    In: Journal of Regional Analysis and Policy.
    RePEc:ags:jrapmc:339916.

    Full description at Econpapers || Download paper

19. Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets. (2016). Weron, Rafał ; Trueck, Stefan ; Maryniak, Pawel.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1610.

    Full description at Econpapers || Download paper

20. Investment in electric energy storage under uncertainty: a real options approach. (2016). Fleten, Stein-Erik ; Wogrin, Sonja ; Hagfors, Lars Ivar ; Bakke, Ida ; Norheim, Beate ; Hagspiel, Verena.
    In: Computational Management Science.
    RePEc:spr:comgts:v:13:y:2016:i:3:d:10.1007_s10287-016-0256-3.

    Full description at Econpapers || Download paper

21. Przełącznikowe modele Markowa (MS) – charakterystyka i sposoby zastosowań w badaniach ekonomicznych. (2016). .
    In: Collegium of Economic Analysis Annals.
    RePEc:sgh:annals:i:40:y:2016:p:479-490.

    Full description at Econpapers || Download paper

22. Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case. (2016). Reneses, Javier ; Muoz, Antonio ; Bello, Antonio.
    In: Energies.
    RePEc:gam:jeners:v:9:y:2016:i:3:p:193-:d:65782.

    Full description at Econpapers || Download paper

23. Electricity price forecasting using sale and purchase curves: The X-Model. (2016). Steinert, Rick ; Ziel, Florian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:59:y:2016:i:c:p:435-454.

    Full description at Econpapers || Download paper

24. Electricity Price Forecasting using Sale and Purchase Curves: The X-Model. (2016). Steinert, Rick ; Ziel, Florian.
    In: Papers.
    RePEc:arx:papers:1509.00372.

    Full description at Econpapers || Download paper

25. A note on using the Hodrick–Prescott filter in electricity markets. (2015). Zator, Michał ; Weron, Rafał.
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:1-6.

    Full description at Econpapers || Download paper

26. Consumption management in the Nord Pool region: A stability analysis. (2015). Noren, Vicke ; Madsen, Henrik ; Lindstrom, Erik.
    In: Applied Energy.
    RePEc:eee:appene:v:146:y:2015:i:c:p:239-246.

    Full description at Econpapers || Download paper

27. A note on using the Hodrick-Prescott filter in electricity markets. (2014). Zator, Michał ; Weron, Rafał.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1404.

    Full description at Econpapers || Download paper

28. Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach. (2014). Janczura, Joanna.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:79:y:2014:i:1:p:1-30.

    Full description at Econpapers || Download paper

29. 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

30. Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices. (2013). Weron, Rafał ; Tomczyk, Jakub ; Nowotarski, Jakub.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1302.

    Full description at Econpapers || Download paper

31. Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices. (2013). Weron, Rafał ; Janczura, Joanna.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:97:y:2013:i:3:p:239-270.

    Full description at Econpapers || Download paper

32. Linepack storage valuation under price uncertainty. (2013). Fleten, Stein-Erik ; Medbo, V. ; Westgaard, S. ; Arvesen, o. ; Fleten, S.-E., ; Tomasgard, A..
    In: Energy.
    RePEc:eee:energy:v:52:y:2013:i:c:p:155-164.

    Full description at Econpapers || Download paper

33. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices. (2013). Weron, Rafał ; Nowotarski, Jakub ; Tomczyk, Jakub .
    In: Energy Economics.
    RePEc:eee:eneeco:v:39:y:2013:i:c:p:13-27.

    Full description at Econpapers || Download paper

34. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling. (2013). Weron, Rafał ; Trueck, Stefan ; Janczura, Joanna ; Truck, Stefan ; Wolff, Rodney C..
    In: Energy Economics.
    RePEc:eee:eneeco:v:38:y:2013:i:c:p:96-110.

    Full description at Econpapers || Download paper

35. Fitting semiparametric Markov regime-switching models to electricity spot prices. (2013). Eichler, Michael ; Turk, D..
    In: Energy Economics.
    RePEc:eee:eneeco:v:36:y:2013:i:c:p:614-624.

    Full description at Econpapers || Download paper

36. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices. (2012). Weron, Rafał ; Tomczyk, Jakub ; Nowotarski, Jakub.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1206.

    Full description at Econpapers || Download paper

37. Inference for Markov-regime switching models of electricity spot prices. (2012). Weron, Rafał ; Janczura, Joanna.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1201.

    Full description at Econpapers || Download paper

38. Youth crime and education expansion. (2012). Vujić, Sunčica ; Machin, Stephen ; Marie, Olivier ; Eichler, Michael ; Dennis, Tuerk .
    In: Research Memorandum.
    RePEc:unm:umamet:2012036.

    Full description at Econpapers || Download paper

39. Fitting semiparametric Markov regime-switching models to electricity spot prices. (2012). Türk, D. D. T., ; Eichler, M.
    In: Research Memorandum.
    RePEc:unm:umamet:2012035.

    Full description at Econpapers || Download paper

40. Linepack storage valuation under price uncertainty. (2012). Fleten, Stein-Erik ; Westgaard, Sjur ; Arvesen, oystein ; Tomasgard, Asgeir ; Medbo, Vegard .
    In: MPRA Paper.
    RePEc:pra:mprapa:43270.

    Full description at Econpapers || Download paper

41. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices. (2012). Weron, Rafał ; Tomczyk, Jakub ; Nowotarski, Jakub.
    In: MPRA Paper.
    RePEc:pra:mprapa:42563.

    Full description at Econpapers || Download paper

42. 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

43. Modeling extreme dependence between European electricity markets. (2012). Regland, Fredrik ; Lindstrm, Erik.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:4:p:899-904.

    Full description at Econpapers || Download paper

44. Pricing electricity derivatives within a Markov regime-switching model. (2012). Janczura, Joanna.
    In: Papers.
    RePEc:arx:papers:1203.5442.

    Full description at Econpapers || Download paper

1. Benth, F.E., Benth, J.S., Koekebakker, S.: Stochastic Modeling of Electricity and Related Markets. World Scientific, Singapore (2008a) .
   Paper not yet in RePEc: Add citation now
   

2. Benth, F.E., Cartea, A., Kiesel, R.: Pricing forward contracts in power markets by the certainty equivalence principle: explaining the sign of the market risk premium. J. Bank. Finance 32(10), 2006–2021 (2008b) .

3. Benth, F.E., Koekebakker, S., Ollmar, F.: Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation. J. Deriv. 52–66 (2007) .
   Paper not yet in RePEc: Add citation now
   

4. Bierbrauer, M., Menn, C., Rachev, S.T., Trück, S.: Spot and derivative pricing in the EEX power market. J. Bank. Finance 31, 3462–3485 (2007) .

5. Borak, S., Weron, R.: A semiparametric factor model for electricity forward curve dynamics. J. Energy Mark. 1(3), 3–16 (2008) .

6. Cappe, O., Moulines, E., Ryden, T.: Inference in Hidden Markov Models. Springer, Berlin (2005) .
   Paper not yet in RePEc: Add citation now
   

7. Christensen, T., Hurn, S., Lindsay, K.: It never rains but it pours: modeling the persistence of spikes in electricity prices. Energy J. 30(1), 25–48 (2009) .

8. Conejo, A.J., Plazas, M.A., Espínola, R., Molina, A.B.: Day-ahead electricity price forecasting using the wavelet transform and ARIMA models. IEEE Trans. Power Syst. 20(2), 1035–1042 (2005) .
   Paper not yet in RePEc: Add citation now
   

9. De Jong, C.: The nature of power spikes: a regime-switch approach. Stud. Nonlinear Dyn. Econom. 10(3), 3 (2006) .

10. Dempster, A., Laird, N., Rubin, D.B.: Maximum likelihood from incomplete data via the EM algorithm. J. R. Stat. Soc. 39, 1–38 (1977) .
    Paper not yet in RePEc: Add citation now
    

11. Erlwein, C., Benth, F.E., Mamon, R.: HMM filtering and parameter estimation of an electricity spot price model. Energy Econ. 32, 1034–1043 (2010) .

12. Fink, G.A.: Markov Models for Pattern Recognition: From Theory to Applications. Springer, Berlin (2008) .
    Paper not yet in RePEc: Add citation now
    
13. Gray, S.F.: Modeling the conditional distribution of interest rates as a regime-switching process. J. Financ. Econ. 42, 27–62 (1996) .
    Paper not yet in RePEc: Add citation now
    

14. Hahn, M., Frühwirth-Schnatter, S., Sass, J.: Estimating models based on Markov jump processes given fragmented observation series. AStA Adv. Stat. Anal. 93, 403–425 (2009) .

15. Hamilton, J.: A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 357–384 (1989) .

16. Hamilton, J.: Analysis of time series subject to changes in regime. J. Econom. 45, 39–70 (1990) .

17. Hamilton, J.: Regime switching models. In: The New Palgrave Dictionary of Economics, 2nd edn. (2008) .
    Paper not yet in RePEc: Add citation now
    

18. Huisman, R., de Jong, C.: Option formulas for mean-reverting power prices with spikes. ERIM Report Series Reference No. ERS-2002-96-F&A (2002) .

19. Huisman, R., Mahieu, R.: Regime jumps in electricity prices. Energy Econ. 25, 425–434 (2003) .

20. Huisman, R.: An Introduction to Models for the Energy Markets. Risk Books, London (2009) .
    Paper not yet in RePEc: Add citation now
    

21. Janczura, J., Weron, R.: An empirical comparison of alternate regime-switching models for electricity spot prices. Energy Econ. 32, 1059–1073 (2010) .

22. Janczura, J., Weron, R.: Goodness-of-fit testing for the marginal distribution of regime-switching models. Available at MPRA: http://mpra.ub.uni-muenchen.de/32532 (2011) .

23. Kanamura, T., Ōhashi, K.: On transition probabilities of regime switching in electricity prices. Energy Econ. 30, 1158–1172 (2008) .

24. Karakatsani, N.V., Bunn, D.: Fundamental and behavioural drivers of electricity price volatility. Stud. Nonlinear Dyn. Econom. 14(4), 4 (2010) .

25. Karakatsani, N.V., Bunn, D.W.: Intra-day and regime-switching dynamics in electricity price formation. Energy Econ. 30, 1776–1797 (2008) .

26. Kholodnyi, V.A.: Modeling power forward prices for power with spikes: a non-Markovian approach. Nonlinear Anal. 63, 958–965 (2005) .
    Paper not yet in RePEc: Add citation now
    
27. Kiesel, R., Schindlmayr, G., Börger, R.H.: A two-factor model for the electricity forward market. Quant. Finance 9(3), 279–287 (2009) .
    Paper not yet in RePEc: Add citation now
    

28. Kim, C.-J.: Dynamic linear models with Markov-switching. J. Econom. 60, 1–22 (1994) .

29. Knittel, C.R., Roberts, M.R.: An empirical examination of restructured electricity prices. Energy Econ. 27, 791–817 (2005) .

30. Luo, Q., Mao, X.: Stochastic population dynamics under regime switching. J. Math. Anal. Appl. 334(1), 69–84 (2007) .
    Paper not yet in RePEc: Add citation now
    
31. Mamon, R.S., Elliott, R.J. (eds.): Hidden Markov models in finance. In: International Series in Operations Research & Management Science, vol. 104. Springer, Berlin (2007) .
    Paper not yet in RePEc: Add citation now
    
32. Mari, C.: Random movements of power prices in competitive markets: a hybrid model approach. J. Energy Mark. 1(2), 87–103 (2008) .
    Paper not yet in RePEc: Add citation now
    

33. Mount, T.D., Ning, Y., Cai, X.: Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters. Energy Econ. 28, 62–80 (2006) .

34. Schwartz, E.S.: The stochastic behavior of commodity prices: implications for valuation and hedging. J. Finance 52(3), 923–973 (1997) .

35. Trück, S., Weron, R., Wolff, R.: Outlier treatment and robust approaches for modeling electricity spot prices. In: Proceedings of the 56th Session of the ISI (2007). Available at MPRA: http://mpra.ub.uni-muenchen.de/4711/ .
    Paper not yet in RePEc: Add citation now
    

36. Weron, R.: Heavy-tails and regime-switching in electricity prices. Math. Methods Oper. Res. 69(3), 457–473 (2009) .

37. Weron, R.: Market price of risk implied by Asian-style electricity options and futures. Energy Econ. 30, 1098–1115 (2008) .

38. Weron, R.: Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach. Wiley, Chichester (2006) .

39. Wong, H., Ip, W.-C., Xie, Z., Lui, X.: Modelling and forecasting by wavelets, and the application to exchange rates. J. Appl. Stat. 30(5), 537–553 (2003) .

40. Yousefi, S., Weinreich, I., Reinarz, D.: Wavelet-based prediction of oil prices. Chaos Solitons Fractals 25, 265–275 (2005) .

1. Supply, demand, and risk premiums in electricity markets. (2022). Li, YU ; Jacobs, Kris ; Pirrong, Craig.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003411.

   Full description at Econpapers || Download paper

2. The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland. (2022). Fontini, Fulvio ; Caporin, Massimiliano ; Bonaldo, Cinzia.
   In: Energy Economics.
   RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001529.

   Full description at Econpapers || Download paper

3. A survey of electricity spot and futures price models for risk management applications. (2021). Deschatre, Thomas ; Gruet, Pierre ; Feron, Olivier.
   In: Energy Economics.
   RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881.

   Full description at Econpapers || Download paper

4. Risk premia in electricity derivatives markets. (2021). Algieri, Bernardina ; Tunaru, Diana ; Leccadito, Arturo.
   In: Energy Economics.
   RePEc:eee:eneeco:v:100:y:2021:i:c:s014098832100205x.

   Full description at Econpapers || Download paper

5. A McKean-Vlasov game of commodity production, consumption and trading. (2021). Ren'e A"id, ; Bonesini, Ofelia ; Campi, Luciano ; Callegaro, Giorgia.
   In: Papers.
   RePEc:arx:papers:2111.04391.

   Full description at Econpapers || Download paper

6. Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Wei, Wei ; Lunde, Asger.
   In: Monash Econometrics and Business Statistics Working Papers.
   RePEc:msh:ebswps:2020-10.

   Full description at Econpapers || Download paper

7. Predictive Trading Strategy for Physical Electricity Futures. (2020). Ramirez-Rosado, Ignacio J ; Monteiro, Claudio ; Fernandez-Jimenez, Alfredo L.
   In: Energies.
   RePEc:gam:jeners:v:13:y:2020:i:14:p:3555-:d:382736.

   Full description at Econpapers || Download paper

8. Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill. (2019). Weron, Rafał ; Trueck, Stefan ; Truck, Stefan ; Maryniak, Pawe.
   In: Energy Economics.
   RePEc:eee:eneeco:v:79:y:2019:i:c:p:45-58.

   Full description at Econpapers || Download paper

9. A higher-order Markov chain-modulated model for electricity spot-price dynamics. (2019). Mamon, Rogemar ; Xiong, Heng.
   In: Applied Energy.
   RePEc:eee:appene:v:233-234:y:2019:i::p:495-515.

   Full description at Econpapers || Download paper

10. Electricity Price Forecasting Using Monte Carlo Simulation: The Case of Lithuania. (2018). Ngujen, Tat Andrejus.
    In: Ekonomika (Economics).
    RePEc:vrs:ekonom:v:97:y:2018:i:1:p:76-86:n:6.

    Full description at Econpapers || Download paper

11. Forward risk premia in long-term transmission rights: The case of electricity price area differentials (EPAD) in the Nordic electricity market. (2018). Spodniak, Petr ; Collan, Mikael.
    In: Utilities Policy.
    RePEc:eee:juipol:v:50:y:2018:i:c:p:194-206.

    Full description at Econpapers || Download paper

12. The impact of the 2030 Climate and Energy Framework Agreement on electricity prices in MIBEL: A mixed-methods approach. (2018). Estevo, Joo ; Raposo, Clara.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:89:y:2018:i:c:p:411-417.

    Full description at Econpapers || Download paper

13. Optimal forward trading and battery control under renewable electricity generation. (2018). Hinz, Juri ; Yee, Jeremy.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:95:y:2018:i:c:p:244-254.

    Full description at Econpapers || Download paper

14. Modelling Electricity Swaps with Stochastic Forward Premium Models. (2018). Rodriguez, Rosa ; Pea, Juan Ignacio.
    In: The Energy Journal.
    RePEc:aen:journl:ej39-2-pena.

    Full description at Econpapers || Download paper

15. Estimating the hedging value of an energy exchange in Turkey to a retail power consumer. (2016). Shcherbakova, Anastasia ; Kurucak, Abdurrahman .
    In: Energy.
    RePEc:eee:energy:v:101:y:2016:i:c:p:16-26.

    Full description at Econpapers || Download paper

16. The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model. (2016). Kallabis, Thomas ; Weber, Christoph ; Pape, Christian.
    In: Energy Policy.
    RePEc:eee:enepol:v:95:y:2016:i:c:p:280-290.

    Full description at Econpapers || Download paper

17. Time-zero efficiency of European power derivatives markets. (2016). Rodriguez, Rosa ; Pea, Juan Ignacio.
    In: Energy Policy.
    RePEc:eee:enepol:v:95:y:2016:i:c:p:253-268.

    Full description at Econpapers || Download paper

18. A consistent two-factor model for pricing temperature derivatives. (2016). López Cabrera, Brenda ; Meyer-Brandis, Thilo ; Lopez-Cabrera, Brenda ; Groll, Andreas.
    In: Energy Economics.
    RePEc:eee:eneeco:v:55:y:2016:i:c:p:112-126.

    Full description at Econpapers || Download paper

19. The overnight risk premium in electricity forward contracts. (2015). Fleten, Stein-Erik ; Smith-Sivertsen, Ragnhild ; Nygrd, Maria Tandberg ; Hagen, Liv Aune ; Sollie, Johan M..
    In: Energy Economics.
    RePEc:eee:eneeco:v:49:y:2015:i:c:p:293-300.

    Full description at Econpapers || Download paper

20. Electricity futures prices in an emissions constrained economy: Evidence from European power markets. (2015). Symeonidis, Lazaros ; Markellos, Raphael ; Daskalakis, George ; George, Lazaros Symeonidis .
    In: The Energy Journal.
    RePEc:aen:journl:ej36-3-daskalakis.

    Full description at Econpapers || Download paper

21. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. (2014). Zator, Michał ; Weron, Rafał.
    In: Energy Economics.
    RePEc:eee:eneeco:v:44:y:2014:i:c:p:178-190.

    Full description at Econpapers || Download paper

22. Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. (2014). Olesen, Kasper V. ; Lunde, Asger.
    In: CREATES Research Papers.
    RePEc:aah:create:2013-19.

    Full description at Econpapers || Download paper

23. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. (2013). Zator, Michał ; Weron, Rafał.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1308.

    Full description at Econpapers || Download paper

24. An empirical study of the information premium on electricity markets. (2013). Kiesel, Rudiger ; Biegler-Konig, Richard ; Benth, Fred Espen.
    In: Energy Economics.
    RePEc:eee:eneeco:v:36:y:2013:i:c:p:55-77.

    Full description at Econpapers || Download paper

25. The forward premium in electricity futures. (2013). Chen, Dipeng ; Bunn, Derek W.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:23:y:2013:i:c:p:173-186.

    Full description at Econpapers || Download paper

26. Utility indifference valuation for non-smooth payoffs with an application to power derivatives. (2013). Campi, Luciano ; Benedetti, Giuseppe.
    In: Papers.
    RePEc:arx:papers:1307.4591.

    Full description at Econpapers || Download paper

27. Risk premia in energy markets. (2013). Veraart, Almut ; Luitgard A. M. Veraart, ; Almut E. D. Veraart, .
    In: CREATES Research Papers.
    RePEc:aah:create:2013-02.

    Full description at Econpapers || Download paper

28. Inference for Markov-regime switching models of electricity spot prices. (2012). Weron, Rafał ; Janczura, Joanna.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1201.

    Full description at Econpapers || Download paper

29. Efficient estimation of Markov regime-switching models: An application to electricity spot prices. (2012). Weron, Rafał ; Janczura, Joanna.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:96:y:2012:i:3:p:385-407.

    Full description at Econpapers || Download paper

30. Hedging electricity swaptions using partial integro-differential equations. (2012). Hepperger, Peter.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:122:y:2012:i:2:p:600-622.

    Full description at Econpapers || Download paper

31. A critical empirical study of three electricity spot price models. (2012). Kiesel, Rudiger ; Benth, Fred Espen ; Nazarova, Anna .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1589-1616.

    Full description at Econpapers || Download paper

32. Liquidity and dirty hedging in the Nordic electricity market. (2012). Frestad, Dennis.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1341-1355.

    Full description at Econpapers || Download paper

33. Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums. (2012). Huisman, Ronald ; Kilic, Mehtap.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:4:p:892-898.

    Full description at Econpapers || Download paper

34. Optimal portfolios in commodity futures markets. (2012). Lempa, Jukka ; Benth, Fred Espen.
    In: Papers.
    RePEc:arx:papers:1204.2667.

    Full description at Econpapers || Download paper

35. Efficient estimation of Markov regime-switching models: An application to electricity spot prices. (2011). Weron, Rafał ; Janczura, Joanna.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1102.

    Full description at Econpapers || Download paper

36. A novel approach for modeling deregulated electricity markets. (2011). Rubin, Ofir ; Babcock, Bruce.
    In: Energy Policy.
    RePEc:eee:enepol:v:39:y:2011:i:5:p:2711-2721.

    Full description at Econpapers || Download paper

37. Risk premiums in the German day-ahead Electricity Market. (2011). Viehmann, Johannes.
    In: Energy Policy.
    RePEc:eee:enepol:v:39:y:2011:i:1:p:386-394.

    Full description at Econpapers || Download paper

38. Dynamic copula models for the spark spread. (2010). Kettler, Paul ; Benth, Fred Espen.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2010:i:3:p:407-421.

    Full description at Econpapers || Download paper

39. Expectations and forward risk premium in the Spanish deregulated power market. (2010). Meneu, Vicente ; Furio, Dolores.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:2:p:784-793.

    Full description at Econpapers || Download paper

40. Modelling risk premia in CO2 allowances spot and futures prices. (2010). Chevallier, Julien.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:27:y:2010:i:3:p:717-729.

    Full description at Econpapers || Download paper

41. Risk premia in electricity wholesale spot markets: empirical evidence from Germany. (2009). Pietz, Matthaus .
    In: CEFS Working Paper Series.
    RePEc:zbw:cefswp:200911.

    Full description at Econpapers || Download paper

42. Risk premia in the German electricity futures market. (2009). Pietz, Matthaus .
    In: CEFS Working Paper Series.
    RePEc:zbw:cefswp:200907.

    Full description at Econpapers || Download paper

43. Expectations and Forward Risk Premium in the Spanish Power Market. (2009). Meneu, Vicente ; Furio, Maria Dolores .
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2009-02.

    Full description at Econpapers || Download paper

44. Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext. (2009). Markellos, Raphael ; Daskalakis, George.
    In: Energy Policy.
    RePEc:eee:enepol:v:37:y:2009:i:7:p:2594-2604.

    Full description at Econpapers || Download paper

45. Strips of hourly power options--Approximate hedging using average-based forward contracts. (2009). Raab, Mikael ; Lindell, Andreas .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:3:p:348-355.

    Full description at Econpapers || Download paper

46. Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market. (2009). Wimschulte, Jens ; Marckhoff, Jan .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:2:p:257-268.

    Full description at Econpapers || Download paper

47. Stochastic Modeling of Electricity and Related Markets. (2008). Koekebakker, Steen ; Benth, Jrat Altyt.
    In: World Scientific Books.
    RePEc:wsi:wsbook:6811.

    Full description at Econpapers || Download paper

48. 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

49. Market price of risk implied by Asian-style electricity options and futures. (2008). Weron, Rafał.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:1098-1115.

    Full description at Econpapers || Download paper

50. Arbitrage free cointegrated models in gas and oil future markets. (2007). Benmenzer, Gr'egory ; Gobet, Emmanuel ; C'eline J'erusalem, .
    In: Papers.
    RePEc:arx:papers:0712.3537.

    Full description at Econpapers || Download paper

Report date: 2025-09-21 02:31:21 || Missing content? Let us know