Ole E. Barndorff–Nielsen; Benth, Fred Espen; Veraart, … - School of Economics and Management, University of Aarhus - 2010
This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the...
