Bosco, Bruno; Parisio, Lucia; Pelagatti, Matteo - Dipartimento di Statistica, Università degli Studi di … - 2006
seasonalities in the electricity prices. We use periodic time series models with GARCH disturbances and leptokurtic distributions … each other. Periodic AR-GARCH models seem to perform quite well in mimicking the features of the stochastic part of the …