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- W2018786965 abstract "Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented." @default.
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- W2018786965 date "2013-06-01" @default.
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- W2018786965 title "Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets" @default.
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- W2018786965 doi "https://doi.org/10.1239/aap/1370870129" @default.
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