A comparative study of factor models for different periods of the electricity spot price market
Christian Laudagé, Florian Aichinger, Sascha Desmettre
| Year of publication: |
2024
|
|---|---|
| Authors: | Laudagé, Christian ; Aichinger, Florian ; Desmettre, Sascha |
| Published in: |
Journal of commodity markets : JCM. - Amsterdam : Elsevier, ISSN 2405-8505, ZDB-ID 2851869-X. - Vol. 36.2024, Art.-No. 100435, p. 1-29
|
| Subject: | Bayesian calibration | Electricity spot price | Jump processes | Markov Chain Monte Carlo | Multi-factor models | Ornstein-Uhlenbeck processes | Strompreis | Electricity price | Markov-Kette | Markov chain | Spotmarkt | Spot market | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Deutschland | Germany | Optionspreistheorie | Option pricing theory | Elektrizitätswirtschaft | Electric power industry |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2024.100435 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015162606