Estimation of a dynamic multi-level factor model with possible long-range dependence
Year of publication: |
2023
|
---|---|
Authors: | Ergemen, Yunus Emre ; Rodríguez-Caballero, Carlos Vladimir |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 1, p. 405-430
|
Subject: | Electricity price forecasting | Fractional cointegration | Long-range dependence | Multi-level factors | Nord Pool power market | Zeitreihenanalyse | Time series analysis | Strompreis | Electricity price | Theorie | Theory | Kointegration | Cointegration | Faktorenanalyse | Factor analysis | Elektrizitätswirtschaft | Electric power industry | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
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