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- W1488393429 abstract "This paper introduces a new modelling framework for energy spot prices based on Levy semistationary processes. Levy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how they are able to capture many of the stylised facts observed in energy markets. Furthermore, we derive forward prices based on our spot price model. As it turns out, many of the classical spot models can be embedded into our novel modelling framework." @default.
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- W1488393429 date "2010-01-01" @default.
- W1488393429 modified "2023-10-17" @default.
- W1488393429 title "Modelling Energy Spot Prices by Lévy Semistationary Processes" @default.
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- W1488393429 doi "https://doi.org/10.2139/ssrn.1597700" @default.
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