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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Klüppelberg, C., Meyer-Brandis, T., Schmidt, A. 
Titel:
Electricity spot price modelling with a view towards extreme spike risk 
Abstract:
Sums of Lévy-driven Ornstein-Uhlenbeck processes seem appropriate for modelling electricity spot price data. In this paper we present a new estimation method with particular emphasis on capturing the high peaks, which is one of the stylized features of such data. After introducing our method we show it at work for the EEX Phelix Base electricity price index. We also present a small simulation study to show the performance of our estimation procedure. 
Zeitschriftentitel:
Quantitative Finance 
Jahr:
2010 
Band / Volume:
10 
Heft / Issue:
Seitenangaben Beitrag:
963-974 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 10 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text