Prediction of extreme price occurrences in the German day-ahead electricity market
نویسندگان
چکیده
منابع مشابه
Risk premiums in the German day - ahead electricity market
This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market taking place prior to EEX. As OTC price data are not publicly available, data provided by the Energy Exchange Austria (EXAA) have been used as a snapshot of ...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2016
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2016.1211794