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Testing day-of-the-week persistence and seasonality in Spanish Electricity Energy prices

Author

Listed:
  • Yaya, OlaOluwa S.
  • Vo, Xuan Vinh

Abstract

Day-of-the-week persistence and seasonality of electricity prices in Spain, spanning 01/01/2006 to 04/11/2021, are investigated by employing updated fractional persistence frameworks in nonlinear settings. The results show marginal higher persistence in electricity prices during the working days (Tuesday, Wednesday, Thursday and Friday), compared to weekend days. In all cases, electricity prices are mean-reverting with long-range dependence properties. Results also show that the monthly electricity price series contain no seasonal effect.

Suggested Citation

  • Yaya, OlaOluwa S. & Vo, Xuan Vinh, 2021. "Testing day-of-the-week persistence and seasonality in Spanish Electricity Energy prices," MPRA Paper 112652, University Library of Munich, Germany, revised 03 Apr 2022.
    • Handle: RePEc:pra:mprapa:112652
    as

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    File URL: https://mpra.ub.uni-muenchen.de/113836/1/MPRA_paper_113836.pdf
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    References listed on IDEAS

    as
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    3. Enders, Walter & Lee, Junsoo, 2012. "The flexible Fourier form and Dickey–Fuller type unit root tests," Economics Letters, Elsevier, vol. 117(1), pages 196-199.
    4. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Electricity prices; Fractional persistence; Unit root; Day-of-the-week effect; seasonality; Spain;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

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