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dc.contributor.authorAndresen, Arne
dc.contributor.authorSollie, Johan Magne
dc.date.accessioned2017-10-23T08:02:33Z
dc.date.available2017-10-23T08:02:33Z
dc.date.created2014-02-05T14:55:27Z
dc.date.issued2013
dc.identifier.citationEnergy Systems, Springer Verlag. 2013, 4 (3), 301-314.nb_NO
dc.identifier.issn1868-3967
dc.identifier.urihttp://hdl.handle.net/11250/2461387
dc.description.abstractThe 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.isoengnb_NO
dc.publisherSpringer Verlagnb_NO
dc.titleMulti-factor models and the risk premiums: a simulation studynb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionacceptedVersionnb_NO
dc.source.pagenumber301-314nb_NO
dc.source.volume4nb_NO
dc.source.journalEnergy Systems, Springer Verlagnb_NO
dc.source.issue3nb_NO
dc.identifier.doi10.1007/s12667-013-0080-6
dc.identifier.cristin1109826
dc.relation.projectNorges forskningsråd: 199908nb_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.unitcode194,60,25,0
cristin.unitnameInstitutt for industriell økonomi og teknologiledelse
cristin.ispublishedtrue
cristin.fulltextpreprint
cristin.fulltextpostprint
cristin.qualitycode1


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