Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
Year of publication: |
2003
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Authors: | Carnero, M. Angeles ; Koopman, Siem Jan ; Ooms, Marius |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Strompreis | Volatilität | Heteroskedastizität | Autoregressive fractionally integrated moving average model | Generalised autoregressive conditional heteroskedasticity model | Long memory process | Periodic autoregressive model | Volatility. |
Series: | Tinbergen Institute Discussion Paper ; 03-071/4 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 835089754 [GVK] hdl:10419/85853 [Handle] RePEc:dgr:uvatin:20030071 [RePEc] |
Classification: | C13 - Estimation ; C22 - Time-Series Models ; G12 - Asset Pricing |
Source: |
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Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles, (2003)
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Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
Carnero, M. Angeles, (2003)
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