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This discussion paper resulted in an article in the <I>Journal of the American Statistical Association</I> (2007). Vol. 102, issue 477, pages 16-27.<p> Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis...</p></i>
Persistent link: https://www.econbiz.de/10011256266
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/10005144404
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...
Persistent link: https://www.econbiz.de/10005137027
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...
Persistent link: https://www.econbiz.de/10011256477