Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of CO₂ and fuel-switching

DOI10.1007/S10479-015-1967-5zbMATH Open1382.60072OpenAlexW2178541926MaRDI QIDQ1699079FDOQ1699079

Stéphane Goutte, Julien Chevallier

Publication date: 16 February 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-015-1967-5

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zbMATH Keywords

stochastic processesOR in energynormal inverse Gaussian\(\mathrm{CO}_2\)fuel-switchingLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

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Cited In (3)

• Regime-switching temperature dynamics model for weather derivatives
• Non-maturing deposits modelling in an Ornstein-Uhlenbeck framework
• Variance swaps under the threshold Ornstein–Uhlenbeck model

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