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Bayesian calibration and number of jump components in electricity spot price models · Study

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ArticleBayesian calibration and number of jump components in electricity spot price models

Jhonny Gonzalez2017

OA

Articlegreen2017

Bayesian calibration and number of jump components in electricity spot price models

Jhonny Gonzalez · John Moriarty · Jan Palczewski

17 citations·0/0 files stored·Energy Economics

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Stochastic processes and financial applications Market Dynamics and Volatility Energy Load and Power Forecasting

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References

2016“Options, Futures, and Other Derivatives”1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 2002Bayesian Analysis of Stochastic Volatility Models 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices 1994Bayesian Analysis of Stochastic Volatility Models 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2008Options, futures and other derivatives

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Year2017

Typearticle

Published2017-05-03

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.eneco.2017.04.022

openalex_workW2233640004

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