Scientific stochastic volatility models for the European energy market : forecasting and extracting conditional volatility
Kai Erik Dahlen; Per Bjarte Solibakke
| Year of publication: |
2012
|
|---|---|
| Authors: | Dahlen, Kai Erik ; Solibakke, Per Bjarte |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 6.2012, 4, p. 17-66
|
| Subject: | Energiemarkt | Energy market | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Prognoseverfahren | Forecasting model |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10009692962