| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480640 | Physica A: Statistical Mechanics and its Applications | 2013 | 14 Pages |
Abstract
⺠We present multifractal stochastic models for electricity spot prices that incorporate mean-reversal. ⺠Corresponding maximum likelihood methods are developed and applied to Nord Pool data. ⺠We identify a characteristic time scale for the correlation decay of returns. ⺠Long-range volatility dependence is detected.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Martin Rypdal, Ola Løvsletten,