Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Year of publication: |
2005
|
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Authors: | Koopman, Siem Jan ; Ooms, Marius ; Carnero, M. Angeles |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Strompreis | ARCH-Modell | ARMA-Modell | EU-Staaten | Autoregressive fractionally integrated moving average model | Generalised autoregressive conditional heteroskedasticity model | Long memory process | Periodic autoregressive model | Volatility |
Series: | Tinbergen Institute Discussion Paper ; 05-091/4 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 837181763 [GVK] hdl:10419/86583 [Handle] RePEc:dgr:uvatin:20050091 [RePEc] |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; G10 - General Financial Markets. General |
Source: |
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Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices
Koopman, Siem Jan, (2005)
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Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles, (2003)
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Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Koopman, Siem Jan, (2005)
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Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices
Carnero, M. Angeles, (2003)
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Periodic seasonal Reg-AFRIMA-GARCH models for daily electricity spot prices
Koopman, Siem Jan, (2005)
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Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices
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