Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy Economics 44 (2014) C, pp. 392-406
-stationary independent increment process for the low-frequency dynamics, and model the large fluctuations by a non-Gaussian stable CARMA … process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently …
