Gregorio Serna

University of Castilla, La Mancha

Plaza Universidad, 1

02071 Albacete, Ciudad Real 13071

Spain

SCHOLARLY PAPERS

2

DOWNLOADS

39

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

Modelling Higher Moments of Electricity Prices

Number of pages: 32 Posted: 02 Jan 2013
Gregorio Serna and Pablo Villaplana
University of Castilla, La Mancha and Comisión Nacional de Energía
Downloads 37 (533,398)
Citation 1

Abstract:

Loading...

Spot electricity prices, GARCH models, conditional volatility, conditional skewness, Gram-Charlier expansions

2.

The Stochastic Seasonal Behaviour of Natural Gas Prices

European Financial Management, Vol. 18, Issue 3, pp. 410-443, 2012
Number of pages: 34 Posted: 19 May 2012
affiliation not provided to SSRN, European Central Bank (ECB) and University of Castilla, La Mancha
Downloads 2 (775,900)
Citation 2
  • Add to Cart

Abstract:

Loading...

stochastic calculus, seasonality, commodity prices, Kalman filter, natural gas