On the seasonality in the implied volatility of electricity options
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DOI: 10.1080/14697688.2019.1582792
Abstract: Seasonality is an important topic in electricity markets, as both supply and demand are dependent on the time of the year. Clearly, the level of prices shows a seasonal behaviour, but not only this. Also,… read more here.
Keywords: seasonality implied; implied volatility; seasonality; electricity ... See more keywords