Sökning: "Ornstein-Uhlenbeck estimation"

Hittade 3 uppsatser innehållade orden Ornstein-Uhlenbeck estimation.

  1. 1. Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Richard Ruthberg; Sebastian Wogenius; [2016]
    Nyckelord :Energy investment; investment valuation; renewable energy production; electricity price modeling; long-term; combined heat and power; CHP; balancing power; intermittent renewable energy modeling; Pilipovic model; multi-factor model; sinusoidal regression; Ornstein-Uhlenbeck estimation; electricity price duration prediction; Nord Pool; Sweden electricity market; future energy systems; phasing out nuclear power; energy policy.;

    Sammanfattning : 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. LÄS MER

  3. 2. Estimating and Testing Risk Approaches: A Technical Analysis using Affine Term Structure Models, Monte Carlo Simulation and GARCH Method

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Daniel Svensson; [2011]
    Nyckelord :Economics; Econometrics; Value-at-Risk; Monte Carlo Simulation; GARCH Method; Business and Economics;

    Sammanfattning : 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. LÄS MER

  4. 3. Change Point Estimation for Stochastic Differential Equations

    Kandidat-uppsats, Matematiska och systemtekniska institutionen

    Författare :Hatice Yalman; [2009]
    Nyckelord :Brownian motion; stochastic differential equations; Ornstein-Uhlenbeck; change points; estimates; simulations; closings; returns; Dow-Jones; Goldman-Sachs;

    Sammanfattning : 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. LÄS MER