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  • Search: subject:"Lévy-driven Ornstein–Uhlenbeck type processes"
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Electricity prices 1 Lévy-driven Ornstein–Uhlenbeck type processes 1 multi-factor models 1 nonlinear filtering 1 statistical estimation 1
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MEYER-BRANDIS, THILO 1 TANKOV, PETER 1
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International Journal of Theoretical and Applied Finance (IJTAF) 1
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MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
MEYER-BRANDIS, THILO; TANKOV, PETER - In: International Journal of Theoretical and Applied … 11 (2008) 05, pp. 503-528
The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is freely traded. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy exchanges. These features can...
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