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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.

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  1. Deferring real options with solar renewable energy certificates. (2023). Byrne, Julie ; Assereto, Martina ; Zhang, Hanyu.
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  2. The forward premium in electricity markets: An experimental study. (2021). Van Koten, Silvester.
    In: Energy Economics.
    RePEc:eee:eneeco:v:94:y:2021:i:c:s0140988320303996.

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  3. A multi-factor approach to modelling the impact of wind energy on electricity spot prices. (2021). Gruet, Pierre ; Rowiska, Paulina A.
    In: Energy Economics.
    RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953.

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  4. Risk premia in electricity derivatives markets. (2021). Leccadito, Arturo ; Algieri, Bernardina ; Tunaru, Diana.
    In: Energy Economics.
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  6. Determinants of the Forward Premium in the Nord Pool Electricity Market. (2020). Molnár, Peter ; Tysdahl, Magne ; Haugom, Erik ; Molnar, Peter.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2020:i:5:p:1111-:d:327348.

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  7. The Forward Premium in Electricity Markets: An Experimental Study. (2020). Van Koten, Silvester.
    In: CERGE-EI Working Papers.
    RePEc:cer:papers:wp656.

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  8. Practical Option Valuations of Futures Contracts with Negative Underlying Prices. (2020). Martinez, Guillermo ; Soufiani, Elham ; Roldan-Contreras, Ana ; Swishchuk, Anatoliy ; Yao, Yao ; Agrawal, Nishant ; Seifi, Mohsen.
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  9. Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill. (2019). Weron, Rafał ; Truck, Stefan ; Maryniak, Pawe.
    In: Energy Economics.
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  10. On the impact of outlier filtering on the electricity price forecasting accuracy. (2019). Afanasyev, Dmitriy ; Fedorova, Elena A.
    In: Applied Energy.
    RePEc:eee:appene:v:236:y:2019:i:c:p:196-210.

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  11. Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo.
    In: Documentos de Trabajo CIEF.
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  12. Electricity price forecasting. (2018). Weron, Rafał ; Ziel, Florian.
    In: HSC Research Reports.
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  13. On the implied market price of risk under the stochastic numéraire. (2018). Dokuchaev, Nikolai.
    In: Annals of Finance.
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  14. Wind, storage, interconnection and the cost of electricity generation. (2018). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria.
    In: Energy Economics.
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  15. Additive energy forward curves in a Heath-Jarrow-Morton framework. (2018). Vargiolu, Tiziano ; Piccirilli, Marco ; Benth, Fred Espen.
    In: Papers.
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  16. Predictive Performance and Bias: Evidence from Natural Gas Markets. (2017). Kremser, Thomas ; Rammerstorfer, Margarethe.
    In: Journal of Management and Sustainability.
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  17. Pricing Green Financial Products. (2017). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang K ; Melzer, Awdesch .
    In: SFB 649 Discussion Papers.
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  18. Wind, Storage, Interconnection and the Cost of Electricity Generation. (2017). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria.
    In: Working Papers.
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  19. An equilibrium pricing model for wind power futures. (2017). Gersema, Gerke ; Wozabal, David.
    In: Energy Economics.
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  20. Wind, Storage, Interconnection and the Cost of Electricity Generation. (2017). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria.
    In: ESP: Energy Scenarios and Policy.
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  21. 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.

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  22. An alternative circular smoothing method to nonparametric estimation of periodic functions. (2016). Xu, Zheng.
    In: Journal of Applied Statistics.
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  23. Wind, storage, interconnection and the cost of electricity. (2016). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria.
    In: Working Papers.
    RePEc:ieb:wpaper:doc2016-30.

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  24. Electricity price forecasting using sale and purchase curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick.
    In: Energy Economics.
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  25. An options pricing approach to ramping rate restrictions at hydro power plants. (2016). Niu, Shilei ; Insley, Margaret.
    In: Journal of Economic Dynamics and Control.
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  26. Electricity Price Forecasting using Sale and Purchase Curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick.
    In: Papers.
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  27. A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar.
    In: CREATES Research Papers.
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  28. Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period. (2015). Weron, Rafał ; Trueck, Stefan ; Truck, Stefan.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1503.

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  29. Electricity Market Coupling and the Pricing of Transmission Rights: An Option-based Approach. (2015). Prokopczuk, Marcel ; Füss, Roland ; Mahringer, Steffen ; Fuess, Roland.
    In: Working Papers on Finance.
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  30. Pricing and hedging Asian-style options on energy. (2015). Benth, Fred ; Detering, Nils.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:19:y:2015:i:4:p:849-889.

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  31. Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes. (2015). Kostrzewski, Maciej .
    In: Central European Journal of Economic Modelling and Econometrics.
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  32. The overnight risk premium in electricity forward contracts. (2015). Fleten, Stein-Erik ; Stein- Erik Fleten, ; Sollie, Johan M. ; Smith-Sivertsen, Ragnhild ; Nygrd, Maria Tandberg ; Hagen, Liv Aune .
    In: Energy Economics.
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  33. A comparison of implied and realized volatility in the Nordic power forward market. (2015). Molnár, Peter ; Haugom, Erik ; Westgaard, Sjur ; Molnar, Peter ; Birkelund, Ole Henrik ; Opdal, Martin .
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:288-294.

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  34. 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.

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  35. 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.
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  36. Forecasting the occurrence of electricity price spikes in the UK power market. (2014). Weron, Rafał ; Maryniak, Pawel .
    In: HSC Research Reports.
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  37. A note on using the Hodrick-Prescott filter in electricity markets. (2014). Zator, Michał ; Weron, Rafał.
    In: HSC Research Reports.
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  38. Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach. (2014). Janczura, Joanna.
    In: Mathematical Methods of Operations Research.
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  39. Switching outputs in a bioenergy cogeneration project: A real options approach. (2014). de Oliveira, Denis Luis ; Igrejas, Rafael ; Brandao, Luiz E. ; Gomes, Leonardo Lima .
    In: Renewable and Sustainable Energy Reviews.
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  40. 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.

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  41. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. (2014). Zator, Michał ; Weron, Rafał.
    In: Energy Economics.
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  42. The incentive to invest in thermal plants in the presence of wind generation. (2014). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria.
    In: Energy Economics.
    RePEc:eee:eneeco:v:43:y:2014:i:c:p:306-315.

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  43. Bayesian DEJD model and detection of asymmetric jumps. (2014). Kostrzewski, Maciej .
    In: Papers.
    RePEc:arx:papers:1404.2050.

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  44. 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.

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  45. 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.
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  46. Determinants of the premium in forward contracts. (2013). Bunn, Derek ; Redl, Christian.
    In: Journal of Regulatory Economics.
    RePEc:kap:regeco:v:43:y:2013:i:1:p:90-111.

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  47. Practical stochastic modelling of electricity prices. (2013). Lawford, Steve ; Culot, Michel ; Smeers, Yves ; Goffin, Valerie ; De Meten, Sebastien .
    In: Post-Print.
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  48. 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.

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  49. 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.
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  50. 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.

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  51. 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.

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  52. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS. (2012). Weron, Rafał ; Trueck, Stefan ; Härdle, Wolfgang ; Truck, Stefan ; Hardle, Wolfgang.
    In: HSC Research Reports.
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  53. Inference for Markov-regime switching models of electricity spot prices. (2012). Weron, Rafał ; Janczura, Joanna.
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1201.

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  54. 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.

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  55. 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.

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  56. 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.

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  57. The Incentive to Invest in Thermal Plants in the Presence of Wind Generation. (2012). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria.
    In: Papers.
    RePEc:esr:wpaper:wp446.

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

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

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  60. 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.

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  61. Links between spot and futures allowances: ECX and EEX markets comparison. (2011). Pinho, Carlos ; Madaleno, Mara.
    In: International Journal of Global Energy Issues.
    RePEc:ids:ijgeni:v:35:y:2011:i:2/3/4:p:101-131.

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  62. Characteristics of the prices of operating reserves and regulation services in competitive electricity markets. (2011). Zareipour, Hamidreza ; Rosehart, William D. ; Wang, Peng.
    In: Energy Policy.
    RePEc:eee:enepol:v:39:y:2011:i:6:p:3210-3221.

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  63. Optimal bidding strategies on the power market based on the stochastic models. (2010). Wyłomańska, Agnieszka ; Weglarz, Magdalena .
    In: HSC Research Reports.
    RePEc:wuu:wpaper:hsc1006.

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  64. Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices. (2010). Kilic, Mehtap ; Huisman, Ronald .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20100070.

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  65. Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool. (2010). Nomikos, Nikos K. ; Soldatos, Orestes A..
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:10:p:5671-5683.

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  66. Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market. (2010). Nomikos, Nikos K. ; Soldatos, Orestes A..
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:2:p:302-312.

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

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

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  69. Stochastic models for bidding strategies on oligopoly electricity market. (2009). Weron, Aleksander ; Borgosz-Koczwara, Magdalena ; Wyomaska, Agnieszka.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:69:y:2009:i:3:p:579-592.

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  70. Heavy-tails and regime-switching in electricity prices. (2009). Weron, Rafał.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:69:y:2009:i:3:p:457-473.

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  71. 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.

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  72. Price formation in electricity forward markets and the relevance of systematic forecast errors. (2009). Bhm, Bernhard, ; Haas, Reinhard ; Huber, Claus ; Redl, Christian .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:3:p:356-364.

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  73. Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives. (2008). Nomikos, N. K. ; Soldatos, O..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:15:y:2008:i:1:p:41-71.

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  74. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models. (2008). Weron, Rafał ; Misiorek, Adam.
    In: MPRA Paper.
    RePEc:pra:mprapa:10428.

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  75. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models. (2008). Weron, Rafał ; Misiorek, Adam.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:24:y:2008:i:4:p:744-763.

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  76. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices. (2007). Weron, Rafał ; Trueck, Stefan ; Wolff, Rodney .
    In: MPRA Paper.
    RePEc:pra:mprapa:4711.

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  6. Identifying Risk Factors and Their Premia: A Study on Electricity Prices. (2020). Lunde, Asger ; Wei, Wei.
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  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 .
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  18. A consistent two-factor model for pricing temperature derivatives. (2016). López Cabrera, Brenda ; Groll, Andreas ; Lopez-Cabrera, Brenda ; Meyer-Brandis, Thilo.
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  20. Electricity futures prices in an emissions constrained economy: Evidence from European power markets. (2015). Symeonidis, Lazaros ; Markellos, Raphael ; Daskalakis, George ; George, Lazaros Symeonidis .
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  21. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. (2014). Zator, Michał ; Weron, Rafał.
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  22. Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange. (2014). Olesen, Kasper V. ; Lunde, Asger.
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  23. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market. (2013). Zator, Michał ; Weron, Rafał.
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  24. An empirical study of the information premium on electricity markets. (2013). Benth, Fred Espen ; Kiesel, Rudiger ; Biegler-Konig, Richard .
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  25. The forward premium in electricity futures. (2013). Chen, Dipeng ; Bunn, Derek W.
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  27. Risk premia in energy markets. (2013). Veraart, Almut ; Luitgard A. M. Veraart, ; Almut E. D. Veraart, .
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  28. Inference for Markov-regime switching models of electricity spot prices. (2012). Weron, Rafał ; Janczura, Joanna.
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  29. Efficient estimation of Markov regime-switching models: An application to electricity spot prices. (2012). Weron, Rafał ; Janczura, Joanna.
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  31. A critical empirical study of three electricity spot price models. (2012). Nazarova, Anna ; Kiesel, Rudiger ; Benth, Fred Espen.
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  32. Liquidity and dirty hedging in the Nordic electricity market. (2012). Frestad, Dennis.
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  33. Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums. (2012). Kilic, Mehtap ; Huisman, Ronald .
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  34. Optimal portfolios in commodity futures markets. (2012). Lempa, Jukka ; Benth, Fred Espen.
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  35. Efficient estimation of Markov regime-switching models: An application to electricity spot prices. (2011). Weron, Rafał ; Janczura, Joanna.
    In: HSC Research Reports.
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  36. A novel approach for modeling deregulated electricity markets. (2011). Rubin, Ofir ; Babcock, Bruce.
    In: Energy Policy.
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  37. Risk premiums in the German day-ahead Electricity Market. (2011). Viehmann, Johannes .
    In: Energy Policy.
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  38. Dynamic copula models for the spark spread. (2010). Kettler, Paul ; Benth, Fred Espen.
    In: Quantitative Finance.
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  39. Expectations and forward risk premium in the Spanish deregulated power market. (2010). Furio, Dolores ; Meneu, Vicente .
    In: Energy Policy.
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  40. Modelling risk premia in CO2 allowances spot and futures prices. (2010). Chevallier, Julien.
    In: Economic Modelling.
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  41. Risk premia in electricity wholesale spot markets: empirical evidence from Germany. (2009). Pietz, Matthaus .
    In: CEFS Working Paper Series.
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  42. Risk premia in the German electricity futures market. (2009). Pietz, Matthaus .
    In: CEFS Working Paper Series.
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  43. Expectations and Forward Risk Premium in the Spanish Power Market. (2009). Furio, Maria Dolores ; Meneu, Vicente .
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  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.
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  45. Strips of hourly power options--Approximate hedging using average-based forward contracts. (2009). Lindell, Andreas ; Raab, Mikael .
    In: Energy Economics.
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  46. Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market. (2009). Marckhoff, Jan ; Wimschulte, Jens .
    In: Energy Economics.
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  47. Stochastic Modeling of Electricity and Related Markets. (2008). Benth, Jrat Altyt ; Koekebakker, Steen.
    In: World Scientific Books.
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  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.

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  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.

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

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