A second order jumpless stochastic dynamic model in continuous time, able to support upward and downward spike patterns typical of electricity prices, is reviewed and compared to market data.
Spikes and antispikes in electricity continuous time price models
MARI, Carlo
2016-01-01
Abstract
A second order jumpless stochastic dynamic model in continuous time, able to support upward and downward spike patterns typical of electricity prices, is reviewed and compared to market data.File in questo prodotto:
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