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~isPartOf:"LSE Research Online Documents on Economics"
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Search: subject:"Continuous Time"
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Continuous time asset pricing
1
Continuum of moments
1
Nonparametric estimation
1
Price density
1
Simulations
1
continuous-time peak-load pricing
1
continuous-time peak-loading pricing
1
price density
1
pumped storage
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Horsley, Anthony
2
Wrobel, Andrew J.
2
Altissimo, Filippo
1
Mele, Antonio
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London School of Economics (LSE)
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1
Simulated nonparametric estimation of
continuous
time
models of asset prices and returns
Altissimo, Filippo
;
Mele, Antonio
-
London School of Economics (LSE)
-
2004
This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional,
continuous-time
…
Persistent link: https://www.econbiz.de/10010745606
Saved in:
2
Continuity of the equilibrium price density and its uses in peak-load pricing
Horsley, Anthony
;
Wrobel, Andrew J.
-
London School of Economics (LSE)
-
2001
utility. For
continuous-time
peak-load pricing of, e.g., electricity, this allows the inclusion of storage and of cross …
Persistent link: https://www.econbiz.de/10011071187
Saved in:
3
The density form of equilibrium prices in
continuous
time
and Boiteux's solution to the shifting-peak problem
Horsley, Anthony
;
Wrobel, Andrew J.
-
London School of Economics (LSE)
-
1999
commodity space, is weakened to allow applications to
continuous-time
problems, and especially to peak-load pricing when the …
Persistent link: https://www.econbiz.de/10010745838
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