Electricity price modelling with stochastic volatility and jumps: An empirical investigation
Nikolay Gudkov, Katja Ignatieva
Topics & Concepts
Futures contractSpot contractEconometricsVolatility (finance)ElectricityEconomicsElectricity marketMean reversionStochastic volatilityJump diffusionSpot marketFinancial economicsJumpEngineeringQuantum mechanicsPhysicsElectrical engineeringElectric Power System OptimizationStochastic processes and financial applicationsMarket Dynamics and Volatility