Essays about: "Ornstein-Uhlenbeck estimation"
Found 3 essays containing the words Ornstein-Uhlenbeck estimation.
-
1. Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments
University essay from KTH/Industriell ekonomi och organisation (Inst.)Abstract : Introducing more intermittent renewable energy sources in the energy system makes the role of balancing power more important. Furthermore, an increased infeed from intermittent renewable energy sources also has the effect of creating lower and more volatile electricity prices. READ MORE
-
2. Estimating and Testing Risk Approaches: A Technical Analysis using Affine Term Structure Models, Monte Carlo Simulation and GARCH Method
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper investigates if the Log-Normal Mean-Reverting Ornstein-Uhlenbeck spot price (LNMROU) and the Vasicek (1977) process can forecast Value-at-Risk (VaR) using the Monte Carlo method. The results from LNMROU are validated against Delta-Normal-GARCH (DNG) and Historical Simulation (HS) which are well known approaches for VaR estimations. READ MORE
-
3. Change Point Estimation for Stochastic Differential Equations
University essay from Matematiska och systemtekniska institutionenAbstract : A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. READ MORE