Blar i NTNU Open på forfatter "Chen, Dipeng"
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Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models
Bunn, Derek; Andresen, Arne; Chen, Dipeng; Westgaard, Sjur (Journal article, 2015)Forecasting quantile and value-at-risk levels for commodity prices is methodologically challenging because of the distinctive stochastic properties of the price density functions, volatility clustering and the importance ... -
Valuation of a Combined Cycle Gas Turbine: under price uncertainty and operational constraints
Arvesen, Oystein; Medbø, Vegard Gjelsvik (Master thesis, 2012)In this thesis we combine multivariate time series modelling with real options theory to value a combined cycle gas turbine. We propose a novel price model with co-integrated power, gas and carbon prices, with multivariate ...