Browsing NTNU Open by Author "Koekebakker, Steen"
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Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution
Andresen, Arne; Koekebakker, Steen; Westgaard, Sjur (Journal article; Peer reviewed, 2010)This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses the heavy tails ...