Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Nikolay Gudkov, Katja Ignatieva
| Year of publication: |
2021
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|---|---|
| Authors: | Gudkov, Nikolay ; Ignatieva, Ekaterina |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 98.2021, p. 1-26
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| Subject: | Power markets | Electricity spot market | Electricity modelling | Energy derivatives | Stochastic volatility | Jump diffusion models | Futures pricing | Strompreis | Electricity price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Energiemarkt | Energy market | Spotmarkt | Spot market | Elektrizitätswirtschaft | Electric power industry | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Elektrizität | Electricity | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2021.105260 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012873255