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Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

Persistent link: https://www.econbiz.de/10001689297

Forecasting day-ahead electricity prices : utilizing hourly prices

Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013

Persistent link: https://www.econbiz.de/10009765836

On the expectation of estimators for general ARMA processes

Gooijer, Jan G. de; Pukkila, Tarmo - 1994

Persistent link: https://www.econbiz.de/10000151642

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

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

Persistent link: https://www.econbiz.de/10003155845

Bayesian analysis of ARMA models

Kleibergen, Frank; Hoek, Henk - 2000

Root cancellation in Auto Regressive Moving Average (ARMA) models leads tolocal non-identification of parameters. When we use diffuse or normal priorson the parameters of the ARMA model, posteriors in Bayesian analyzes show ana posteriori favor for this local non-identification. We show that the...

Persistent link: https://www.econbiz.de/10011303311

Intervention time series analysis of crime rates

Sridharan, Sanjeev; Vujić, Sunčica; Koopman, Siem Jan - 2003

The Commonwealth of Virginia abolished parole and reformed sentencing for all felony of-fenders committed on or after January 1, 1995. We examine the impact of this legislationon reported crime rates using different time series approaches. In particular, structuraltime series models are...

Persistent link: https://www.econbiz.de/10011333897

Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Persistent link: https://www.econbiz.de/10011334332

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 … fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day …-of-the-week periodicity and long memory are important determinants for the dynamic modelling of the conditional mean of electricity spotprices …

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

errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance … electricity spot prices. In particular, daily log prices from the Nord Pool power exchange of Norway are modeled effectively by … electricity markets (EEX in Germany, Powernext in France, APX in The Netherlands), which are less persistent, periodicity is also …

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

Time series models with a common stochastic variance for analysing economic time series

Koopman, Siem Jan; Bos, Charles S. - 2002

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Persistent link: https://www.econbiz.de/10011327834

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