Arbeitspapier
Regularization Approach for Network Modeling of German Energy Market
We investigate the concept of connectedness, which is important for risk measurement and management inGerman energy market. Understanding and learning from these mechanisms are essential to avoid future systemic disasters. To deal with large portfolio selection, we propose regularization approach to capture the spillover and contagion effects acrossGerman power derivatives. This paper shows how network analysis can facilitate the monitoring of futures price movements. Our methodology combines high-dimensional variable selection techniques with network analysis, the results show that contracts like Phelix Base Year Options and Phelix Peak Year Futures are in the core of the Energy futures market.
- Sprache
-
Englisch
- Erschienen in
-
Series: IRTG 1792 Discussion Paper ; No. 2018-017
- Klassifikation
-
Wirtschaft
Energy: Demand and Supply; Prices
Energy Forecasting
- Thema
-
regularization
energy risk transmission
network
German energy market
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Shi
Härdle, Wolfgang Karl
López Cabrera, Brenda
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
- (wo)
-
Berlin
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Shi
- Härdle, Wolfgang Karl
- López Cabrera, Brenda
- Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"
Entstanden
- 2018
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