Jhonny Gonzalez

University of Manchester - School of Mathematics

United Kingdom

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Scholarly Papers (1)

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Bayesian Calibration and Number of Jump Components in Electricity Spot Price Models

Number of pages: 43 Posted: 13 Jan 2016 Last Revised: 06 May 2017
Jhonny Gonzalez, John Moriarty and Jan Palczewski
University of Manchester - School of Mathematics, Queen Mary University of London - School of Mathematical Sciences and University of Leeds - School of Mathematics
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Abstract:

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Multifactor models, Bayesian calibration, Markov Chain Monte Carlo, Ornstein-Uhlenbeck process, Electricity spot price, Negative jumps