Janczura, Joanna; Trück, Stefan; Weron, Rafał; Wolff, … - In: Energy Economics 38 (2013) C, pp. 96-110
An important issue in fitting stochastic models to electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, estimation routines for the long-term and short-term seasonal pattern are usually quite sensitive to extreme observations,...