A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
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 | Energiepreis | Energy price | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Strompreis | Electricity price | Energiemarkt | Energy market | Preis | Price | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
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