Bayesian calibration and number of jump components in electricity spot price models

Gonzalez, J, Moriarty, J and Palczewski, J orcid.org/0000-0003-0235-8746 (2017) Bayesian calibration and number of jump components in electricity spot price models. Energy Economics, 65. pp. 375-388. ISSN 0140-9883

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Copyright, Publisher and Additional Information: © 2017 Elsevier B.V. This is an author produced version of a paper published in Energy Economics. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Multi-factor models; Bayesian calibration; Markov Chain Monte Carlo; Ornstein-Uhlenbeck process; Electricity spot price; Negative jumps
Dates:
  • Published: June 2017
  • Accepted: 28 April 2017
  • Published (online): 3 May 2017
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Maths and Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 05 May 2017 14:36
Last Modified: 03 Nov 2018 01:38
Published Version: https://doi.org/10.1016/j.eneco.2017.04.022
Status: Published
Publisher: Elsevier
Identification Number: https://doi.org/10.1016/j.eneco.2017.04.022

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