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Quantitative Finance Volume 20, 2020 - Issue 3
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A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices

W.J. Hinderks† TU Kaiserslautern, Erwin-Schrödinger-Straße 1, 67663Kaiserslautern, Germany;‡ Fraunhofer ITWM, Fraunhofer-Platz 1, 67663Kaiserslautern, GermanyCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-9631-9387View further author information
ORCID Icon,
R. Korn† TU Kaiserslautern, Erwin-Schrödinger-Straße 1, 67663Kaiserslautern, Germany;‡ Fraunhofer ITWM, Fraunhofer-Platz 1, 67663Kaiserslautern, GermanyView further author information
&
A. Wagner‡ Fraunhofer ITWM, Fraunhofer-Platz 1, 67663Kaiserslautern, GermanyView further author information
Pages 347-357 | Received 29 Jan 2019, Accepted 25 Oct 2019, Published online: 02 Dec 2019

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