FS
2010
13 years 3 months ago
2010
The aim of this paper is to investigate the properties of stochastic volatility models, and to discuss to what extent, and with regard to which models, properties of the classical...
HICSS
2002
IEEE
13 years 9 months ago
2002
IEEE
We propose a class of alternative stochastic volatility models for electricity prices using the quantile function modeling approach. Specifically, we fit marginal distributions ...