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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...
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The class of periodic autoregressive (PAR) models, suitably extended so as to allow for 'periodic integration', has recently found widespread application to economic time series as an alternative to the time-invariant models available in the literature. An elaborate modelling strategy has been...
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Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing … to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard … series are seasonally demeaned has very important consequences on the asymptotic behavior of autocorrelation functions. The …
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