Klaus Mayer

Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies (CEFS)

Arcisstr. 21

Munich, 80333

Germany

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Scholarly Papers (1)

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Modeling Electricity Spot Prices - Combining Mean-Reversion, Spikes and Stochastic Volatility

European Journal of Finance, Forthcoming
Posted: 21 Feb 2011 Last Revised: 24 Oct 2012
Klaus Mayer, Thomas Schmid and Florian Weber
Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies (CEFS), The University of Hong Kong - Faculty of Business and Economics and Technische Universität München (TUM) - Center for Entrepreneurial and Financial Studies (CEFS)

Abstract:

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Electricity, Energy markets, Lévy processes, Mean-reversion, Spikes, Stochastic volatility, GARCH