FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1567682293> ?p ?o ?g. }

• W1567682293 abstract "Spot prices in energy markets exhibit special features like price spikes, mean-reversion inverse, stochastic volatility, inverse leverage effect and co-integration between the different commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. Second order structure and stationary issues of the model are analysed. Moreover the implied multivariate forward model is derived. Due to the flexibility of the model stylized facts of the forward curve as contango, backwardation and humps are explained. Moreover, a transformed-based method to price options on the forward is described, where fast and precise algorithms for price computations can be implemented. A simulation method for Monte Carlo generation of price paths is introduced." @default.
• W1567682293 created "2016-06-24" @default.
• W1567682293 creator A5037423525 @default.
• W1567682293 creator A5044987464 @default.
• W1567682293 date "2009-01-01" @default.
• W1567682293 modified "2023-09-28" @default.
• W1567682293 title "A Multivariate Non-Gaussian Stochastic Volatility Model with Leverage for Energy Markets" @default.
• W1567682293 cites W1480459000 @default.
• W1567682293 cites W1493006567 @default.
• W1567682293 cites W1576772981 @default.
• W1567682293 cites W1582706191 @default.
• W1567682293 cites W1602844557 @default.
• W1567682293 cites W1605761934 @default.
• W1567682293 cites W1984379003 @default.
• W1567682293 cites W1994177366 @default.
• W1567682293 cites W1995522593 @default.
• W1567682293 cites W2006306808 @default.
• W1567682293 cites W2010949536 @default.
• W1567682293 cites W2015433547 @default.
• W1567682293 cites W2031817855 @default.
• W1567682293 cites W2033192403 @default.
• W1567682293 cites W2050019857 @default.
• W1567682293 cites W2051411341 @default.
• W1567682293 cites W2056613923 @default.
• W1567682293 cites W2081877251 @default.
• W1567682293 cites W2082031432 @default.
• W1567682293 cites W2098612888 @default.
• W1567682293 cites W2110603299 @default.
• W1567682293 cites W2120694358 @default.
• W1567682293 cites W2131178762 @default.
• W1567682293 cites W2133033133 @default.
• W1567682293 cites W2141186877 @default.
• W1567682293 cites W2155804346 @default.
• W1567682293 cites W2169161101 @default.
• W1567682293 cites W2188127598 @default.
• W1567682293 cites W2259967806 @default.
• W1567682293 cites W2610857016 @default.
• W1567682293 cites W2760702041 @default.
• W1567682293 cites W2763213203 @default.
• W1567682293 cites W2797641211 @default.
• W1567682293 cites W2891169408 @default.
• W1567682293 cites W3123685831 @default.
• W1567682293 cites W3124720174 @default.
• W1567682293 cites W3202912068 @default.
• W1567682293 cites W573310676 @default.
• W1567682293 cites W659384096 @default.
• W1567682293 cites W2184801448 @default.
• W1567682293 doi "https://doi.org/10.2139/ssrn.1495156" @default.
• W1567682293 hasPublicationYear "2009" @default.
• W1567682293 type Work @default.
• W1567682293 sameAs 1567682293 @default.
• W1567682293 citedByCount "1" @default.
• W1567682293 countsByYear W15676822932012 @default.
• W1567682293 crossrefType "journal-article" @default.
• W1567682293 hasAuthorship W1567682293A5037423525 @default.
• W1567682293 hasAuthorship W1567682293A5044987464 @default.
• W1567682293 hasBestOaLocation W15676822932 @default.
• W1567682293 hasConcept C10138342 @default.
• W1567682293 hasConcept C105795698 @default.
• W1567682293 hasConcept C135205223 @default.
• W1567682293 hasConcept C139719470 @default.
• W1567682293 hasConcept C149782125 @default.
• W1567682293 hasConcept C153083717 @default.
• W1567682293 hasConcept C161584116 @default.
• W1567682293 hasConcept C162324750 @default.
• W1567682293 hasConcept C183582576 @default.
• W1567682293 hasConcept C193326847 @default.
• W1567682293 hasConcept C19499675 @default.
• W1567682293 hasConcept C23922673 @default.
• W1567682293 hasConcept C2779309563 @default.
• W1567682293 hasConcept C2983622608 @default.
• W1567682293 hasConcept C2985497776 @default.
• W1567682293 hasConcept C33923547 @default.
• W1567682293 hasConcept C38935604 @default.
• W1567682293 hasConcept C41008148 @default.
• W1567682293 hasConcept C85393063 @default.
• W1567682293 hasConcept C91602232 @default.
• W1567682293 hasConceptScore W1567682293C10138342 @default.
• W1567682293 hasConceptScore W1567682293C105795698 @default.
• W1567682293 hasConceptScore W1567682293C135205223 @default.
• W1567682293 hasConceptScore W1567682293C139719470 @default.
• W1567682293 hasConceptScore W1567682293C149782125 @default.
• W1567682293 hasConceptScore W1567682293C153083717 @default.
• W1567682293 hasConceptScore W1567682293C161584116 @default.
• W1567682293 hasConceptScore W1567682293C162324750 @default.
• W1567682293 hasConceptScore W1567682293C183582576 @default.
• W1567682293 hasConceptScore W1567682293C193326847 @default.
• W1567682293 hasConceptScore W1567682293C19499675 @default.
• W1567682293 hasConceptScore W1567682293C23922673 @default.
• W1567682293 hasConceptScore W1567682293C2779309563 @default.
• W1567682293 hasConceptScore W1567682293C2983622608 @default.
• W1567682293 hasConceptScore W1567682293C2985497776 @default.
• W1567682293 hasConceptScore W1567682293C33923547 @default.
• W1567682293 hasConceptScore W1567682293C38935604 @default.
• W1567682293 hasConceptScore W1567682293C41008148 @default.
• W1567682293 hasConceptScore W1567682293C85393063 @default.
• W1567682293 hasConceptScore W1567682293C91602232 @default.
• W1567682293 hasLocation W15676822931 @default.
• W1567682293 hasLocation W15676822932 @default.
• W1567682293 hasOpenAccess W1567682293 @default.

• next