Modelling jumps in electricity prices: theory and empirical evidence
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 10 (2007)
Issue (Month): 1 (January)
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Web page: http://www.springerlink.com/link.asp?id=102989
Electricity prices; Jump diffusion; Derivatives pricing; Model risk; C11; G12; G13; Q4;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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