A rough multi-factor model of electricity spot prices
Mikkel Bennedsen
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Bennedsen, Mikkel |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 63.2017, p. 301-313
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| Subject: | Energy markets | Electricity prices | Roughness | Fractals | Mean reversion | Multi-factor modeling | Forecasting | Strompreis | Electricity price | Energiemarkt | Energy market | Spotmarkt | Spot market | Prognoseverfahren | Forecasting model | Mean Reversion | Elektrizitätswirtschaft | Electric power industry | Elektrizität | Electricity | Theorie | Theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.02.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011757980