Innovation Processes in Logically Constrained Time Series

Capturing the relevant aspects of phenomena in an econometric model is a fine art. When it comes to the innovation process a trade of between a suitable process and its mathematical implications has to be found.

[1]  Christoph Möller.  Strategic deployment of balancing energy in the German electricity market , 2009 .

[2]  J. L. Nolan,et al.  Numerical calculation of stable densities and distribution functions: Heavy tails and highly volatil , 1997 .

[3]  Christoph Lang,et al.  Rise in German Wholesale Electricity Prices: Fundamental Factors, Exercise of Market Power, or Both? , 2006 .

[4]  Svetlozar T. Rachev,et al.  Financial market models with Lévy processes and time-varying volatility. , 2008 .

[5]  Frank J. Fabozzi,et al.  Computing VAR and AVaR in Infinitely Divisible Distributions , 2009 .

[6]  W. Fuller,et al.  Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .

[7]  Gilles O. Zumbach.  A gentle introduction to the RM 2006 methodology , 2006 .

[8]  M. Yor,et al.  The Fine Structure of Asset Retums : An Empirical Investigation ' , 2006 .

[9]  Svetlozar T. Rachev,et al.  Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing , 2005 .

[10]  Svetlozar T. Rachev,et al.  Smoothly truncated stable distributions, GARCH-models, and option pricing , 2009, Math. Methods Oper. Res..

[11]  Gwilym M. Jenkins,et al.  Time series analysis, forecasting and control , 1971 .

[12]  Gwilym M. Jenkins,et al.  Time series analysis, forecasting and control , 1972 .

[13]  Svetlozar T. Rachev,et al.  Balancing energy strategies in electricity portfolio management , 2011 .

[14]  Koponen,et al.  Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process. , 1995, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.

[15]  Svetlana Boyarchenko,et al.  OPTION PRICING FOR TRUNCATED LÉVY PROCESSES , 2000 .

[16]  S. Rachev,et al.  Stable Paretian Models in Finance , 2000 .