dc.contributor.author | Andresen, Arne | |
dc.contributor.author | Sollie, Johan Magne | |
dc.date.accessioned | 2017-10-23T08:02:33Z | |
dc.date.available | 2017-10-23T08:02:33Z | |
dc.date.created | 2014-02-05T14:55:27Z | |
dc.date.issued | 2013 | |
dc.identifier.citation | Energy Systems, Springer Verlag. 2013, 4 (3), 301-314. | nb_NO |
dc.identifier.issn | 1868-3967 | |
dc.identifier.uri | http://hdl.handle.net/11250/2461387 | |
dc.description.abstract | The estimation of commodity spot price models often involves the estimation of risk premiums. We show in a simulation study that the market prices of risk cannot be accurately estimated using two popular estimation techniques; the Kalman filter and an iterative routine. Risk premium parameters may be dependent on the starting value for the iterative routine, and cannot be accurately estimated using the Kalman filter technique. We conclude with a short analysis of results from the spot price model literature by examining the implied volatility term structure from other published research papers. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Springer Verlag | nb_NO |
dc.title | Multi-factor models and the risk premiums: a simulation study | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.pagenumber | 301-314 | nb_NO |
dc.source.volume | 4 | nb_NO |
dc.source.journal | Energy Systems, Springer Verlag | nb_NO |
dc.source.issue | 3 | nb_NO |
dc.identifier.doi | 10.1007/s12667-013-0080-6 | |
dc.identifier.cristin | 1109826 | |
dc.relation.project | Norges forskningsråd: 199908 | nb_NO |
dc.description.localcode | © Springer Verlag 2013. The final publication is available at https://link.springer.com/article/10.1007%2Fs12667-013-0080-6. This is the authors' accepted and refereed manuscript to the article. | nb_NO |
cristin.unitcode | 194,60,25,0 | |
cristin.unitname | Institutt for industriell økonomi og teknologiledelse | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |