Electricity spot price modelling with a view towards extreme spike risk
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Publication:2994839
DOI10.1080/14697680903150496zbMath1210.91155OpenAlexW2051354157MaRDI QIDQ2994839
Thilo Meyer-Brandis, Claudia Klüppelberg, Andrea Schmidt
Publication date: 29 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903150496
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)
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Cites Work
- Limit theory for the sample covariance and correlation functions of moving averages
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- The qq-estimator and heavy tails
- Statistics of Extremes
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
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