Dynamic copula models for the spark spread
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2010.481629
Reference16 articles.
1. Processes of normal inverse Gaussian type
2. Pricing forward contracts in power markets by the certainty equivalence principle: Explaining the sign of the market risk premium
3. A note on arbitrage‐free pricing of forward contracts in energy markets
4. THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS
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