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A k- factor GIGARCH process : estimation and application to electricity market spot prices

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Author Info

  • Dominique Guegan

    ()
    (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - École normale supérieure de Cachan - ENS Cachan)

  • Abdou Kâ Diongue

    ()
    (UFR SAT - Université Gaston Berger - Université Gaston Berger de Saint-Louis)

  • Bertrand Vignal

    (EDF R&D - EDF)

Abstract

Some 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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File URL: http://halshs.archives-ouvertes.fr/docs/00/18/85/33/PDF/guegan-ka_conf.pdf
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Bibliographic Info

Paper provided by HAL in its series Post-Print with number halshs-00188533.

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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
Handle: RePEc:hal:journl:halshs-00188533

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00188533/en/
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Related research

Keywords: GIGARCH process – estimation theory – Electricity spot prices.;

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  1. Yin-Wong Cheung & Francis X. Diebold, 1993. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Working Papers 93-5, Federal Reserve Bank of Philadelphia.
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  1. repec:hal:cesptp:halshs-00307606 is not listed on IDEAS
  2. Abdou Kâ Diongue & Dominique Guégan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," 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.

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