Stochastic multifactor modeling of spot electricity prices

Power and Bipower Variation with Stochastic Volatility and Jumps

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2004 · 2.1K citations

Business, Finance, Probability Theory +15

The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging

Eduardo S. Schwartz · The Journal of Finance · 1997 · 2.1K citations

Agriculture, Economics, Finance +17

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole E. Barndorff–Nielsen · Journal of Financial Econometrics · 2005 · 1.4K citations

Business, Economics, Finance +17

Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

Julio J. Lucia, Eduardo S. Schwartz · Review of Derivatives Research · 2002 · 952 citations

Natural Resources, Economics, Electrical Engineering +17

Disentangling diffusion from jumps

Yacine Aı̈t-Sahalia · Journal of Financial Economics · 2004 · 383 citations

Engineering, Mathematics, Physics +8