Modelling energy spot prices by Lévy semistationary processes
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References listed on IDEAS
- Veraart, Almut E.D., 2010.
"Inference For The Jump Part Of Quadratic Variation Of Itô Semimartingales,"
Cambridge University Press, vol. 26(02), pages 331-368, April.
- Almut Veraart, 2008. "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers 2008-17, Department of Economics and Business Economics, Aarhus University.
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KeywordsEnergy markets; forward price; Lévy semistationary process; stochastic integration; spot price;
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-08 (All new papers)
- NEP-ECM-2010-05-08 (Econometrics)
- NEP-ENE-2010-05-08 (Energy Economics)
- NEP-MIC-2010-05-08 (Microeconomics)
- NEP-ORE-2010-05-08 (Operations Research)
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