Electricity spot price modelling with a view towards extreme spike risk (Q2994839): Difference between revisions

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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Statistics of Extremes
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+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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+Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
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+Limit theory for the sample covariance and correlation functions of moving averages
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+The qq-estimator and heavy tails
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+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
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