Wind power has seen strong growth over the last decade and increasingly affects electricity spot prices. Generation from wind energy is stochastic, and if there is lot of wind, prices tend to be lower. Therefore, for an investor, but also for the whole electricity system, it is important to...

Few authors have studied, either asymptotically or in finite samples, the size and power of seasonal unit root tests when the data generating process [DGP] is a non-stationary alternative aside from the seasonal random walk. In this respect, Ghysels, lee and Noh (1994) conducted a simulation...

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...