Similar Search Results - EconBiz

Electricity prices : a nonparametric approach

Pirino, Davide; Renò, Roberto - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 285-299

Persistent link: https://www.econbiz.de/10008860393

Electricity Prices : A Nonparametric Approach

Pirino, Davide; Renò, Roberto - 2009

We propose a simple univariate model for the dynamics of spot electricity prices. The model is nonparametric in the sense that it is free from parametric model assumptions and flexible in capturing the dynamics of the data. The estimation is performed in two steps. Preliminarily, spikes are...

Persistent link: https://www.econbiz.de/10014211880

Electricity Prices : A Nonparametric Approach

Pirino, Davide - 2010

We propose a simple univariate model for the dynamics of spot electricity prices. The model is nonparametric in the sense that it is free from parametric model assumptions and flexible in capturing the dynamics of the data. The estimation is performed in two steps. Preliminarily, spikes are...

Persistent link: https://www.econbiz.de/10013142488

Nonparametric estimation of the diffusion coefficient via Fourier analysis, with application to short rate modeling

Renò, Roberto - 2004

Persistent link: https://www.econbiz.de/10003023757

Nonparametric estimation of stochastic volatility models

Renò, Roberto - In: Economics letters 90 (2006) 3, pp. 390-395

Persistent link: https://www.econbiz.de/10003295287

Nonparametric estimation of the diffusion coefficient of stochastic volatility models

Renò, Roberto - In: Econometric theory 24 (2008) 5, pp. 1174-1206

Persistent link: https://www.econbiz.de/10003748738

A comparison of alternative nonparametric estimators of the short rate diffusion coefficient

Renò, Roberto; Roma, Antonio; Schaefer, Stephen M. - 2004

Persistent link: https://www.econbiz.de/10003024057

Nonparametric estimation in models with Lévy type jumps and stochastic volatility

Mancini, Cecilia; Renò, Roberto - 2005

Persistent link: https://www.econbiz.de/10003320049

A comparison of alternative non-parametric estimators of the short rate diffusion coeffcient

Renò, Roberto; Roma, Antonio; Schaefer, Stephen M. - In: Economic notes : economic review of Banca Monte dei … 35 (2006) 3, pp. 227-252

Persistent link: https://www.econbiz.de/10003429767

Nonparametric stochastic volatility

Bandi, Federico M.; Renò, Roberto - 2009

Persistent link: https://www.econbiz.de/10003854417

A service of the