Efficient estimation of Markov regime-switching models: an application to electricity spot prices
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Cites work
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- A two-factor model for the electricity forward market
- Analysis of time series subject to changes in regime
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- Heavy-tails and regime-switching in electricity prices
- Hidden Markov models in finance
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
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- Modeling power forward prices for power with spikes: a non-Markovian approach
- Modelling and forecasting by wavelets, and the application to exchange rates
- Stochastic modeling of electricity and related markets.
- Stochastic population dynamics under regime switching
- The Nature of Power Spikes: A Regime-Switch Approach
- Wavelet-based prediction of oil prices
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- Valuation of swing options under a regime-switching mean-reverting model
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- Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
- A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood
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- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- An MCMC computational approach for a continuous time state-dependent regime switching diffusion process
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- On the efficacy of ``herd behavior in the commodities market: a neuro-fuzzy agent ``herding on deep learning traders
- Optimal trading with regime switching: numerical and analytic techniques applied to valuing storage in an electricity balancing market
- Analysis of single particle diffusion with transient binding using particle filtering
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