Cointegrating Jumps: an Application to Energy Facilities
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References listed on IDEAS
- Alvaro Cartea & Marcelo Figueroa, 2005.
"Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality,"
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- Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-09-11 (All new papers)
- NEP-ENE-2015-09-11 (Energy Economics)
- NEP-ETS-2015-09-11 (Econometric Time Series)
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