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Modelling energy spot prices by volatility modulated Levy-driven Volterra processes

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  • Ole E. Barndorff-Nielsen
  • Fred Espen Benth, Centre of Mathematics for Applications, University of Oslo, Norway
  • Almut E. D. Veraart, Department of Mathematics, Imperial College London, United Kingdom
Original languageEnglish
Pages (from-to)803-845
Number of pages43
Publication statusPublished - 2013

    Research areas

  • energy markets, forward price, generalised hyperbolic distribution, Levy semistationary process, Samuelson effect, spot price, stochastic integration, stochastic volatility, volatility modulated Levy-driven Volterra process

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