A self-exciting modeling framework for forward prices in power markets
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Publication:6580688
DOI10.1002/ASMB.2645MaRDI QIDQ6580688
Andrea Mazzoran, Carlo Sgarra, Giorgia Callegaro
Publication date: 29 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
branching processesHeath-Jarrow-Morton modelHawkes processesforward pricesself-exciting processespower marketsjumps clustering
Cites Work
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Related Items (4)
The rough Hawkes Heston stochastic volatility model ⋮ Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data ⋮ Hawkes processes in energy markets: modelling, estimation and derivatives pricing ⋮ A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets
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