Bayesian estimation of stable CARMA spot models for electricity prices
Gernot Müller, Armin Seibert
| Year of publication: |
2019
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|---|---|
| Authors: | Müller, Gernot ; Seibert, Armin |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 78.2019, p. 267-277
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| Subject: | [alpha]-Stable process | CARMA model | Electricity prices | Futures prices | Markov chain Monte Carlo | Seasonality | Stable density approximation | Strompreis | Electricity price | Markov-Kette | Markov chain | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Derivat | Derivative | Saisonale Schwankungen | Seasonal variations |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.10.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012159939