Talk from Archives

Statistical Analysis of Energy Markets with Applications to the Estimation of Affine Models

30.04.2012

We analyze the fit of various models to prices of energy futures traded at the EEX. A simple GARCH model performs surprisingly well. In a second part of the talk we give an overview over estimation methods for affine processes and compare their properties in an extensive simulation study.

This is joint work with Frank Gehmlich and Julian Wergieluk