4 citations · 8 across the 3 of their papers we have counts for
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q-fin.ST2019★ 4 cited
A Self-Exciting Modelling Framework for Forward Prices in Power Markets
Giorgia Callegaro, Andrea Mazzoran, Carlo Sgarra
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential ke…
q-fin.ST2012
Comparison results for Garch processes
Fabio Bellini, Franco Pellerey, Carlo Sgarra +1
We consider the problem of stochastic comparison of general Garch-like processes, for different parameters and different distributions of the innovations. We identify several stoch…