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Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

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  • Mák, Fruzsina
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    Abstract

    The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).

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    File URL: http://unipub.lib.uni-corvinus.hu/1611/
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    Bibliographic Info

    Paper provided by Corvinus University of Budapest in its series Corvinus Economics Working Papers (CEWP) with number 1611.

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    Date of creation: 2014
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    Handle: RePEc:cvh:coecwp:1611

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    Keywords: unit root; seasonality; energy exchange;

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