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MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES - MaRDI portal

MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (Q3527433)

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MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
scientific article

    Statements

    title
    MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (English)
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    author
    Thilo Meyer-Brandis
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    Peter Tankov
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    publication date
    29 September 2008
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    zbMATH Keywords
    electricity prices
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    multi-factor models
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    Lévy-driven Ornstein-Uhlenbeck type processes
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    statistical estimation
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    nonlinear filtering
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62P05
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    62M20
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    62M10
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    zbMATH DE Number
    5347882
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    OpenAlex ID
    W2137451767
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