Add to ORKGThe main aim of this paper is to develop and calibrate an econometric model for modelling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks which have to be taken into account for modelling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Fututes with next year´s delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, sprea...
We investigate the economic factors that drive electricity risk premia in the European emissions con...
The pricing of contingent claims in the wholesale power market is a controversial topic. Important c...
From 2002 to 2006, German wholesale electricity prices more than doubled. The purpose of this paper ...
The main aim of this paper is to develop and calibrate an econometric model for modeling prices of l...
Mid- to long-term forecasting of electricity market prices remains a challenging task. Fundamental m...
This paper provides insight in the time-varying relation between electricity futures prices and fund...
Commodities used on worldwide scale and daily basis, are also traded on their separate markets. Elec...
This paper provides insight in the time-varying relation between electricity futures prices and fund...
Long-term modelling of electricity market prices remains a challenging task. Fundamental models can ...
In contrast to forwards and futures on storable commodities, prices of long-term electricity forward...
This paper analyses the price developments between the European Energy Exchange EEX and OTC wholesal...
Jørund Ystrøm Haartveit Power prices in Germany. Price formation and fundamental factors. Theoretica...
Energy commodity markets have been developing very rapidly in the past few years. Many new products ...
We investigate the economic factors that drive electricity risk premia in the European emissions con...
We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed ...
We investigate the economic factors that drive electricity risk premia in the European emissions con...
The pricing of contingent claims in the wholesale power market is a controversial topic. Important c...
From 2002 to 2006, German wholesale electricity prices more than doubled. The purpose of this paper ...
The main aim of this paper is to develop and calibrate an econometric model for modeling prices of l...
Mid- to long-term forecasting of electricity market prices remains a challenging task. Fundamental m...
This paper provides insight in the time-varying relation between electricity futures prices and fund...
Commodities used on worldwide scale and daily basis, are also traded on their separate markets. Elec...
This paper provides insight in the time-varying relation between electricity futures prices and fund...
Long-term modelling of electricity market prices remains a challenging task. Fundamental models can ...
In contrast to forwards and futures on storable commodities, prices of long-term electricity forward...
This paper analyses the price developments between the European Energy Exchange EEX and OTC wholesal...
Jørund Ystrøm Haartveit Power prices in Germany. Price formation and fundamental factors. Theoretica...
Energy commodity markets have been developing very rapidly in the past few years. Many new products ...
We investigate the economic factors that drive electricity risk premia in the European emissions con...
We propose an ambit stochastic model to study the electricity forward prices. We provide a detailed ...
We investigate the economic factors that drive electricity risk premia in the European emissions con...
The pricing of contingent claims in the wholesale power market is a controversial topic. Important c...
From 2002 to 2006, German wholesale electricity prices more than doubled. The purpose of this paper ...