A k- factor GIGARCH process : estimation and application to electricity market spot prices
AbstractSome crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for this estimation.
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Date of creation: 2004
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Publication status: Published - Presented, Probabilistic methods applied to power systems, 2004, United States
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GIGARCH process – estimation theory – Electricity spot prices.;
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- repec:hal:cesptp:halshs-00307606 is not listed on IDEAS
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Documents de travail du Centre d'Economie de la Sorbonne
b07058, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Diongue, Abdou Kâ & Guégan, Dominique & Vignal, Bertrand, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Applied Energy, Elsevier, vol. 86(4), pages 505-510, April.
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