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Bayesian calibration and number of jump components in electricity spot price models
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Bayesian calibration and number of jump components in electricity spot price models (2017)Bayesian calibration and number of jump c…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …A Critical Empirical Study of Three Electricity Spot Price Models (2011)A Critical Empirical Study of…STochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…Options, futures and other derivatives (2008)Options, futures and other de…MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES (2008)MULTI-FACTOR JUMP-DIFFUSION M…Modelling jumps in electricity prices: theory and empirical evidence (2007)Modelling jumps in electricit…A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)A Non‐Gaussian Ornstein–Uhlen…Understanding the Fine Structure of Electricity Prices* (2006)Understanding the Fine Struct…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Renewable energy investments under different support schemes: A real options approach (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Modeling and Forecasting Realized Volatility (2003)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Analysis of Financial Time Series (2006)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Measuring Uncertainty (2015)An Intertemporal General Equilibrium Model of Asset Prices (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Equilibrium Forward Curves for Commodities (2000)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Pricing and Hedging Spread Options (2003)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)The detection and estimation of long memory in stochastic volatility (1998)Maximum likelihood estimation of stochastic volatility models (2006)Time-Varying Effects of Oil Supply Shocks on the US Economy (2013)
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References

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  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,827 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
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  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
  • 2007Modelling jumps in electricity prices: theory and empirical evidence111 cited
  • 2011A Critical Empirical Study of Three Electricity Spot Price Models

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108 cited
  • 2008MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES107 cited
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