Weron, R.; Kozłowska, B.; Nowicka-Zagrajek, J. - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 1, pp. 344-350
In this paper we address the issue of modeling electricity loads and prices with diffusion processes. More specifically, we study models which belong to the class of generalized Ornstein–Uhlenbeck processes. After comparing properties of simulated paths with those of deseasonalized data from...