Heavy-tails and regime-switching in electricity prices
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Publication:1028534
DOI10.1007/S00186-008-0247-4zbMATH Open1163.91362OpenAlexW2015051487MaRDI QIDQ1028534FDOQ1028534
Publication date: 6 July 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/10424/1/MPRA_paper_10424.pdf
Cites Work
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- Stable Paretian models in finance
- Analysis of time series subject to changes in regime
- Computational Science - ICCS 2004
- The Nature of Power Spikes: A Regime-Switch Approach
- Statistical Tools for Finance and Insurance
- Stable modeling in energy risk management
- Measures of Dependence for Stable AR(1) Models with Time-Varying Coefficients
Cited In (10)
- Computational Science - ICCS 2004
- Regime-switching temperature dynamics model for weather derivatives
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- Aging Feynman–Kac equation
- Randomly Modulated Periodic Signals in Alberta's Electricity Market
- Wavelet-based option pricing: an empirical study
- Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
- Efficient estimation of Markov regime-switching models: an application to electricity spot prices
- Modeling the distribution of day-ahead electricity returns: a comparison
- De-noising option prices with the wavelet method
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