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Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …

Persistent link: https://www.econbiz.de/10011373822

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

Persistent link: https://www.econbiz.de/10011334362

Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - 2005

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

Persistent link: https://www.econbiz.de/10011346471

Periodic heteroskedastic RegAFRIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Persistent link: https://www.econbiz.de/10001883820