MCMC calibration of spot-prices models in electricity markets

DOI10.1002/asmb.2471MaRDI QIDQ6576819

Giuseppe De Nicolao, Andrea Marziali, Alice Guerini

Publication date: 23 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlostochastic differential equationsvolatilityelectricity marketsmultifactor modelmean-reverting commodity price

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Efficient estimation of Markov regime-switching models: an application to electricity spot prices
• CALIBRATION OF MULTIFACTOR MODELS IN ELECTRICITY MARKETS
• Statistics and Data Analysis for Financial Engineering
• Bayesian Analysis of Stochastic Process Models
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• The Nature of Power Spikes: A Regime-Switch Approach

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