| dc.date.accessioned | 2013-03-12T08:18:57Z | |
| dc.date.available | 2013-03-12T08:18:57Z | |
| dc.date.issued | 2007 | en_US |
| dc.date.submitted | 2009-11-16 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10527 | |
| dc.description.abstract | The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is traded like any other com- modity. In this paper, we study the most salient statistical features of electricity prices with a particular attention to the European energy ex- changes. These features can be adequately reproduced by the sum-OU model: a model representing the price as a sum of L«evy-driven Ornstein- Uhlenbeck (OU) processes. We present a new method for filtering out the different OU components and develop a statistical procedure for estimat- ing the sum-OU model from data. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2007). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Multi-factor jump-diffusion models of electricity prices. | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-16 | en_US |
| dc.rights.holder | Copyright 2007 The Author(s) | |
| dc.creator.author | Meyer-Brandis, Thilo | en_US |
| dc.creator.author | Tankov, Peter | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23512 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 96895 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10527/1/pm22-07.pdf | |