MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
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Publication:3527433
DOI10.1142/S0219024908004907zbMath1185.91191OpenAlexW2137451767MaRDI QIDQ3527433
Thilo Meyer-Brandis, Peter Tankov
Publication date: 29 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024908004907
nonlinear filteringstatistical estimationelectricity pricesmulti-factor modelsLévy-driven Ornstein-Uhlenbeck type processes
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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