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~isPartOf:"Applied economics letters"
~isPartOf:"Energy economics"
~isPartOf:"Journal of econometrics"
~isPartOf:"Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir"
~subject:"Electricity price"
~subject:"Estimation"
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Search: subject_exact:"Stochastic process"
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Electricity price
Estimation
Stochastic process
340
Stochastischer Prozess
340
Theorie
156
Theory
156
Volatility
147
Volatilität
147
Time series analysis
90
Zeitreihenanalyse
90
Schätzung
70
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Schätztheorie
65
Option pricing theory
50
Optionspreistheorie
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Stochastic volatility
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ARCH-Modell
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Bayes-Statistik
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Bayesian inference
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Börsenkurs
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Share price
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Einheitswurzeltest
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Markov chain
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Unit root test
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Todorov, Viktor
9
Tauchen, George Eugene
6
Bollerslev, Tim
3
Li, Jia
3
Müller, Gernot
3
Asai, Manabu
2
Chang, Tsangyao
2
Creal, Drew
2
Grynkiv, Iaryna
2
Kim, Donggyu
2
Klüppelberg, Claudia
2
McAleer, Michael
2
Park, Joon Y.
2
Schmeck, Maren Diane
2
Wang, Bin
2
Wang, Yazhen
2
Zhou, Hao
2
Abate, Arega Getaneh
1
Amara, Jomana
1
Ambrosius, Mirjam
1
Amengual, Dante
1
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1
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1
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1
Cartea, Álvaro
1
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Applied economics letters
Energy economics
Journal of econometrics
Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir
Econometric reviews
27
Working paper
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Applied economics
19
Economic modelling
19
Discussion paper / Tinbergen Institute
18
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
CAMA working paper series
17
Journal of banking & finance
17
Journal of applied econometrics
13
Journal of empirical finance
13
Economics letters
12
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
The journal of futures markets
12
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
European journal of operational research : EJOR
11
International journal of forecasting
11
Econometrics : open access journal
10
Research paper series / Swiss Finance Institute
10
CREATES research paper
9
Finance research letters
9
International journal of theoretical and applied finance
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of productivity analysis
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NBER Working Paper
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NBER working paper series
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Quantitative finance
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SFB 649 discussion paper
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Discussion paper series / IZA
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Econometric Institute research papers
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Journal of economic dynamics & control
8
Journal of financial econometrics
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Journal of financial economics
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Working paper / National Bureau of Economic Research, Inc.
8
Discussion papers of interdisciplinary research project 373
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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1
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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2
Better to grow or better to improve? : measuring environmental efficiency in OECD countries with a stochastic environmental Kuznets frontier (SEKF)
Badunenko, Oleg
;
Galeotti, Marzio
;
Hunt, Lester C.
- In:
Energy economics
121
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014438777
Saved in:
3
On the volatility of WTI crude oil prices : a time-varying approach with stochastic volatility
Thai-Ha Le
;
Boubaker, Sabri
;
Manh Tien Bui
;
Park, Donghyun
- In:
Energy economics
117
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014436424
Saved in:
4
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
5
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
6
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
7
Risk aversion in multilevel electricity market models with different congestion pricing regimes
Ambrosius, Mirjam
;
Egerer, Jonas
;
Grimm, Veronika
; …
- In:
Energy economics
105
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013201742
Saved in:
8
Short-term risk management of electricity retailers under rising shares of decentralized solar generation
Russo, Marianna
;
Kraft, Emil
;
Bertsch, Valentin
;
Keles, …
- In:
Energy economics
109
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013283857
Saved in:
9
Stochastic convergence of per capita greenhouse gas emissions : new unit root tests with breaks and a factor structure
Payne, James E.
;
Lee, Junsoo
;
Islam, Md. Towhidul
; …
- In:
Energy economics
113
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013540483
Saved in:
10
The market price of risk for delivery periods : pricing swaps and options in electricity markets
Kemper, Annika
;
Schmeck, Maren Diane
;
Kh.Balci, Anna
- In:
Energy economics
113
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013540564
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