A new energy model to capture the behavior of energy price processes
Year of publication: |
2012
|
---|---|
Authors: | Xu, Weijun ; Sun, Qi ; Xiao, Weilin |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 29.2012, 5, p. 1585-1591
|
Publisher: |
Elsevier |
Subject: | Energy model | Maximum likelihood estimation | Malliavin calculus | Fractional Ornstein–Uhlenbeck processes | Monte Carlo simulation |
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