Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Year of publication: |
2010
|
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Authors: | Smith, Michael Stanley |
Published in: |
Statistical modelling and regression structures : Festschrift in honour of Ludwig Fahrmeir. - Heidelberg : Physica-Verl., ISBN 978-3-7908-2412-4. - 2010, p. 353-376
|
Subject: | Strompreis | Electricity price | Spotmarkt | Spot market | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation | Australien | Australia |
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