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Stochastic multifactor modeling of spot electricity prices · Study

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ArticleStochastic multifactor modeling of spot electricity prices

Azize Hayfavi2013

OA

Articlebronze2013

Stochastic multifactor modeling of spot electricity prices

Azize Hayfavi · İrem Talaslı

24 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Electric Power System Optimization Energy Load and Power Forecasting

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References

1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2010Threshold bipower variation and the impact of jumps on volatility forecasting 2005Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality 2006Understanding the Fine Structure of Electricity Prices*2004Disentangling diffusion from jumps

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Year2013

Typearticle

Published2013-10-16

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2013.10.008

openalex_workW1992596870

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