Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Year of publication: |
2021
|
---|---|
Authors: | Gudkov, Nikolay ; Ignatieva, Ekaterina |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 98.2021, p. 1-26
|
Subject: | Power markets | Electricity spot market | Electricity modelling | Energy derivatives | Stochastic volatility | Jump diffusion models | Futures pricing | Strompreis | Electricity price | Volatilität | Volatility | Energiemarkt | Energy market | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Elektrizität | Electricity | Elektrizitätswirtschaft | Electric power industry | Spotmarkt | Spot market | Optionspreistheorie | Option pricing theory | Rohstoffderivat | Commodity derivative |
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