Zobrazeno 1 - 10
of 46
pro vyhledávání: '"Brenda López Cabrera"'
With increasing wind power (WP) penetration an extensive amount of volatile and weather dependent energy is fed into the German electricity system. To manage the volume risk of windless days and the transfer of revenue risk from wind turbine owners t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e15fe6658125910c45d260fae7bbbb14
http://edoc.hu-berlin.de/18452/24735
http://edoc.hu-berlin.de/18452/24735
In this paper we propose a regularization approach for network modeling of German power derivative market. To deal with the large portfolio, we combine high-dimensional variable selection techniques with dynamic network analysis. The estimated sparse
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1fbf0eb2328d85d1940e80f36658fbe8
http://arxiv.org/abs/2009.09739
http://arxiv.org/abs/2009.09739
Autor:
Brenda López Cabrera, Franziska Schulz
Publikováno v:
Journal of the American Statistical Association. 112:127-136
Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly impor- tant informati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::34924ed1ff3c277edd981b4e38e95774
https://doi.org/10.1080/01621459.2016.1219259
https://doi.org/10.1080/01621459.2016.1219259
Publikováno v:
SSRN Electronic Journal.
Forecasting of electricity day-ahead prices has become an important field in recent research due to the tremendous increase in unpredictable renewable power in-feed to the electricity systems. We propose new methodology that is able to capture the in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::18f61f5f0b809d425ab85a4f3107763a
https://doi.org/10.2139/ssrn.3363167
https://doi.org/10.2139/ssrn.3363167
Publikováno v:
SSRN Electronic Journal
Volatile renewable power sources will soon dominate the power portfolio of leading industrial countries to match the goals of the Paris climate accord. Wind power is the leading renewable energy source. Its production is strongly volatile due to weat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::839ab9fc17f891175eb7c0d7e172389e
https://doi.org/10.2139/ssrn.3363164
https://doi.org/10.2139/ssrn.3363164
Publikováno v:
Energy Economics. 55:112-126
We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-facto
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ad2a9bea582721a0ea71813f6706600
https://doi.org/10.1016/j.eneco.2015.12.020
https://doi.org/10.1016/j.eneco.2015.12.020
Publikováno v:
SSRN Electronic Journal.
We investigate the concept of connectedness, which is important for risk measurement and management in German energy market. Understanding and learning from these mechanisms are essential to avoid future systemic disasters. To deal with large portfol
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::22277b29f816eed0a50d3b2f38bcf8f1
https://doi.org/10.2139/ssrn.3210583
https://doi.org/10.2139/ssrn.3210583
Publikováno v:
Renewable Energy. 83:416-424
To meet the increasing global demand for renewable energy, such as wind energy, an increasing number of wind parks are being constructed worldwide. Finding a suitable location requires a detailed and often costly analysis of local wind conditions. Pl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cdc51f783d6ae78a887ea3b040deae3f
https://doi.org/10.1016/j.renene.2015.04.038
https://doi.org/10.1016/j.renene.2015.04.038
Publikováno v:
Insurance: Mathematics and Economics. 64:106-125
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensable for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::37f1d2cf745853e879a5df294f17e3b2
https://doi.org/10.1016/j.insmatheco.2015.05.001
https://doi.org/10.1016/j.insmatheco.2015.05.001
Publikováno v:
SSRN Electronic Journal.
With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners to investors wind power deriv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f5de4a15ae6b58dc3fe696a6bd764bfd
https://doi.org/10.2139/ssrn.3024529
https://doi.org/10.2139/ssrn.3024529