A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
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Publication:905391
DOI10.1515/snde-2012-0001zbMath1329.62412OpenAlexW3125375964MaRDI QIDQ905391
Publication date: 19 January 2016
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2012-0001
Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)
Uses Software
Cites Work
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