Modeling electricity price and quantity uncertainty: An application for hedging with forward contracts

Energy purchases/sales in liberalized markets are subject to price and quantity uncertainty, which should be jointly modeled by relaxing the unreliable normality assumption for capturing risk. In this paper, we consider the spot price and energy generation to follow a bivariate semi-nonparametric di...

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Autores:
Trespalacios, Alfredo
Cortés, Lina
Perote, Javier
Tipo de recurso:
Fecha de publicación:
2020
Institución:
Universidad EAFIT
Repositorio:
Repositorio EAFIT
Idioma:
spa
OAI Identifier:
oai:repository.eafit.edu.co:10784/16325
Acceso en línea:
http://hdl.handle.net/10784/16325
Palabra clave:
Semi-nonparametric approach
multivariate distribution
electricity market
hedging
forward contracts.
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