Bayesian calibration and number of jump components in electricity spot price models
Jhonny Gonzalez, John Moriarty, Jan Palczewski
| Year of publication: |
June 2017
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| Authors: | Gonzalez, Jhonny ; Moriarty, John ; Palczewski, Jan |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 65.2017, p. 375-388
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| Subject: | Multi-factor models | Bayesian calibration | Markov Chain Monte Carlo | Ornstein-Uhlenbeck process | Electricity spot price | Negative jumps | Strompreis | Electricity price | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Spotmarkt | Spot market | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2017.04.022 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011803998