The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process
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More about this item
KeywordsCO2; Fuel-Switching; Lévy Jump process; Mean-reversion; Normal Inverse Gaussian; Variance Gamma; Model fit; Heavy tails; Goodness-of-fit testing.;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-05-17 (All new papers)
- NEP-ENE-2014-05-17 (Energy Economics)
- NEP-RMG-2014-05-17 (Risk Management)
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