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Understanding the Fine Structure of Electricity Prices

Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Persistent link: https://www.econbiz.de/10011166403

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes

Dufour, Jean-Marie; Torrès, Olivier - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

Persistent link: https://www.econbiz.de/10005100872

Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs

Hua, Cheng - Université Paris-Dauphine (Paris IX) - 2006

fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by …

Persistent link: https://www.econbiz.de/10010708652

Testing The Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions

Cumby, Robert E. - 1990

This paper derives the asymptotic distribution for a vector of sample autocorrelations of regression residuals from a quite general linear model. The asymptotic distribution forms the basis for a test of the null hypothesis that the regression error follows a moving average of order q...

Persistent link: https://www.econbiz.de/10012475572

Estimating Autocorrelations in Fixed-Effects Models

Solon, Gary - 1984

series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …

Persistent link: https://www.econbiz.de/10012477826

Regime-Switching and the Estimation of Multifractal Processes

Calvet, Laurent - 2003

We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...

Persistent link: https://www.econbiz.de/10012468859

Generalized Moments Estimation for Panel Data

Druska, Viliam - 2003

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross-sectional units. It is assumed that the disturbances are spatially correlated, based on some geographic or economic proximity measure. If the time dimension of the data is large, feasible...

Persistent link: https://www.econbiz.de/10012469113