Trueck, Stefan; Weron, Rafal; Wolff, Rodney - Volkswirtschaftliche Fakultät, … - 2007
electricity markets. Typically, electricity spot prices exhibit features like seasonality, mean-reverting behavior, extreme … volatility and the occurrence of jumps and spikes. Hence, an important issue in the estimation of stochastic models for … electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, in …