Economics at your fingertips  

Self-exciting jump processes with applications to energy markets

Heidar Eyjolfsson () and Dag Tjøstheim ()
Additional contact information
Heidar Eyjolfsson: University of Iceland
Dag Tjøstheim: University of Bergen

Annals of the Institute of Statistical Mathematics, 2018, vol. 70, issue 2, 373-393

Abstract: Abstract In this paper, we discuss a class of mean-reverting, and self-exciting continuous-time jump processes. We give a short overview, with references, of the development of such processes, discuss maximum likelihood estimation, and put them into context with processes that have been proposed recently. More specifically, we introduce a class of SDE-governed intensity processes with varying jump intensity. We study Markovian aspects of this process, and analyse its stability properties. Finally, we consider parameter estimation of our model class with daily quotes of UK electricity prices over a specific period.

Keywords: Self-exciting processes; Jump processes; Markov processes; Energy markets (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-11-06
Handle: RePEc:spr:aistmt:v:70:y:2018:i:2:d:10.1007_s10463-016-0591-8