Thomas Deschatre

activity

20162026

most citedEstimating fast mean-reverting jumps in electricity market models

2 citations · 3 across the 12 of their papers we have counts for

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Showing 2018Show all

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math.ST2018

Local polynomial estimation of the intensity of a doubly stochastic Poisson process with bandwidth selection procedure

Thomas Deschatre

We consider a doubly stochastic Poisson process with stochastic intensity $λ_{t} = n q (X_{t})$ where $X$ is a continuous Itô semimartingale and $n$ is an integer. Both proces…

math.ST2018★ 2 cited

Estimating fast mean-reverting jumps in electricity market models

Deschatre Thomas, Féron Olivier, Hoffmann Marc

Based on empirical evidence of fast mean-reverting spikes, we model electricity price processes $X + Z^{β}$ as the sum of a continuous Itô semimartingale $X$ and a a mean-reverting com…