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electricity price
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jump diffusion model
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mean reversion
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wavelet transform
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Simonsen, Ingve
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Université Paris-Dauphine (Paris IX)
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Colwell, David , Banking & Finance, Australian School of Business, UNSW
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Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
Weron, Rafal
;
Simonsen, Ingve
;
Wilman, Piotr
-
EconWPA
-
2003
unobservable in other financial or commodity markets price dynamics we propose a mean reverting
jump
diffusion
model
. We fit the …
Persistent link: https://www.econbiz.de/10005407920
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