TY  - RPRT
AU  - Moreno, Manuel
AU  - Novales Cinca, Alfonso Santiago
AU  - Platania, Federico
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17524
AB  - This paper introduces a two-factor continuous-time model for commodity pricing under the assump- tion that prices revert to a stochastic mean level, which shows smooth, periodic fluctuations over long periods of time. We represent the mean reversion...
LA  - eng
A3  - Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Finance
KW  - Energy Markets
KW  - Seasonality
KW  - Long-term swings
KW  - Kalman filter.
TI  - Long-term swings and seasonality in energy markets
TY  - technical report
VL  - 2019
ER  -