Short-term evolution of forward curves and volatility in illiquid power market
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More about this item
Keywords
Forward curves; Power Markets; GARCH volatility; nonparametric regression;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2008-06-07 (Econometrics)
- NEP-FMK-2008-06-07 (Financial Markets)
- NEP-ORE-2008-06-07 (Operations Research)
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