Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices
Maciej Kostrzewski
| Year of publication: |
2016
|
|---|---|
| Authors: | Kostrzewski, Maciej |
| Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 8.2016, 3, p. 161-179
|
| Subject: | jump-diffusion model | stochastic volatility | Bayesian approach | MCMC methods | gas forward prices | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Erdgasmarkt | Natural gas market | Erdgas | Natural gas | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011634897