Self-exciting jump processes with applications to energy markets

DOI10.1007/s10463-016-0591-8zbMath1387.60083OpenAlexW2568095913MaRDI QIDQ1744711

Dag Tjøstheim, Heidar Eyjolfsson

Publication date: 19 April 2018

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-016-0591-8

zbMATH Keywords

Markov processesjump processesenergy marketsself-exciting processes

Mathematics Subject Classification ID

Related Items (2)

Self-exciting jump processes and their asymptotic behaviour ⋮ Multivariate self-exciting jump processes with applications to financial data

Cites Work

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