Estimating fast mean-reverting jumps in electricity market models

DOI10.1051/ps/2020027zbMath1455.62198arXiv1803.03803OpenAlexW3110048627MaRDI QIDQ5140350

Thomas Deschatre, O. Féron, Marc Hoffmann

Publication date: 15 December 2020

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.03803

zbMATH Keywords

discrete observationsderivatives pricingfinancial statisticselectricity market modelling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Jump processes on discrete state spaces (60J74)

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