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...
- 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.
- Rights
- License
- Acceso abierto