Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Michael Stanley Smith
| Year of publication: |
2010
|
|---|---|
| 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 |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003964500