A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Anne Floor Brix, Asger Lunde, Wei Wei
| Year of publication: |
May 2018
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|---|---|
| Authors: | Brix, Anne Floor ; Lunde, Asger ; Wei, Wei |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 72.2018, p. 560-582
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| Subject: | Energy prices | Forward prices | Multi-factor model | Stochastic volatility | Spikes | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Energiemarkt | Energy market | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Energiepreis | Energy price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.03.037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011972455