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Abdou Ka Diongue

Personal Details

First Name:Abdou Ka
Middle Name:
Last Name:Diongue
Suffix:
RePEc Short-ID:pdi163
[This author has chosen not to make the email address public]

Affiliation

Universite Gaston Berger - UFR Sciences Appliquees et Technologie

http://www.ugb.sn
Saint-Louis Senegal

Research output

as
Jump to: Working papers Articles

Working papers

  1. Abdou Kâ Diongue & Gaël Giraud & Cécile Renouard, 2011. "Measuring the contribution of extractive industries to local development : the case of oil companies in Nigeria," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00611942, HAL.
  2. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2010. "BL-GARCH model with elliptical distributed innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368340, HAL.
  3. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Documents de travail du Centre d'Economie de la Sorbonne b08013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  4. Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  5. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Documents de travail du Centre d'Economie de la Sorbonne b08027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Abdou Kâ Diongue & Dominique Guegan, 2007. "The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179275, HAL.
  7. 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.
  8. Abdou Kâ Diongue & Dominique Guegan, 2004. "Estimating parameters for a k-GIGARCH process," Post-Print halshs-00188531, HAL.
  9. Dominique Guegan & Abdou Kâ Diongue & Bertrand Vignal, 2004. "A k- factor GIGARCH process : estimation and application to electricity market spot prices," Post-Print halshs-00188533, HAL.

Articles

  1. 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.
  2. Diongue, Abdou Kâ & Diop, Aliou & Ndongo, Mor, 2008. "Seasonal fractional ARIMA with stable innovations," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1404-1411, September.
  3. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2010. "BL-GARCH model with elliptical distributed innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368340, HAL.

    Cited by:

    1. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00505145, HAL.
    2. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Statistical evidence of tax fraud on the carbon allowances market," Documents de travail du Centre d'Economie de la Sorbonne 10069, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Choi, M.S. & Park, J.A. & Hwang, S.Y., 2012. "Asymmetric GARCH processes featuring both threshold effect and bilinear structure," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 419-426.
    4. Marius-Cristian Frunza & Dominique Guegan, 2010. "Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00504209, HAL.

  2. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Documents de travail du Centre d'Economie de la Sorbonne b08013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188264, HAL.
    2. Montero, José M. & García-Centeno, Maria C. & Fernández-Avilés, Gema, 2011. "Modelling the Volatility of the Spanish Wholesale Electricity Spot Market. Asymmetric GARCH Models vs. Threshold ARSV model/Modelización de la volatilidad en el mercado eléctrico español. Modelos GARC," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 29, pages 597-616, Agosto.

  3. Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Heni Boubaker, 2015. "Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 551-574, December.

  4. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Documents de travail du Centre d'Economie de la Sorbonne b08027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Motelle, Sephooko & Biekpe, Nicholas, 2015. "Financial integration and stability in the Southern African development community," Journal of Economics and Business, Elsevier, vol. 79(C), pages 100-117.

  5. Abdou Kâ Diongue & Dominique Guegan, 2007. "The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179275, HAL.

    Cited by:

    1. Dark Jonathan Graeme, 2010. "Estimation of Time Varying Skewness and Kurtosis with an Application to Value at Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-50, March.
    2. Lee, Oesook, 2018. "Stationarity and functional central limit theorem for ARCH(∞) models," Economics Letters, Elsevier, vol. 162(C), pages 107-111.
    3. Christian Conrad, 2007. "Non-negativity Conditions for the Hyperbolic GARCH Model," KOF Working papers 07-162, KOF Swiss Economic Institute, ETH Zurich.

  6. 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.

    Cited by:

    1. Panapakidis, Ioannis P. & Dagoumas, Athanasios S., 2016. "Day-ahead electricity price forecasting via the application of artificial neural network based models," Applied Energy, Elsevier, vol. 172(C), pages 132-151.
    2. Javed, Fahad & Arshad, Naveed & Wallin, Fredrik & Vassileva, Iana & Dahlquist, Erik, 2012. "Forecasting for demand response in smart grids: An analysis on use of anthropologic and structural data and short term multiple loads forecasting," Applied Energy, Elsevier, vol. 96(C), pages 150-160.
    3. Lin, Whei-Min & Gow, Hong-Jey & Tsai, Ming-Tang, 2010. "An enhanced radial basis function network for short-term electricity price forecasting," Applied Energy, Elsevier, vol. 87(10), pages 3226-3234, October.
    4. Lago, Jesus & De Ridder, Fjo & Vrancx, Peter & De Schutter, Bart, 2018. "Forecasting day-ahead electricity prices in Europe: The importance of considering market integration," Applied Energy, Elsevier, vol. 211(C), pages 890-903.
    5. Fanelli, Viviana & Maddalena, Lucia & Musti, Silvana, 2016. "Modelling electricity futures prices using seasonal path-dependent volatility," Applied Energy, Elsevier, vol. 173(C), pages 92-102.
    6. Erdogdu, Erkan, 2010. "A paper on the unsettled question of Turkish electricity market: Balancing and settlement system (Part I)," Applied Energy, Elsevier, vol. 87(1), pages 251-258, January.
    7. Angelica Gianfreda & Luigi Grossi, 2011. "Forecasting Italian Electricity Zonal Prices with Exogenous Variables," Working Papers 01/2011, University of Verona, Department of Economics.
    8. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. Streckiene, Giedre & Martinaitis, Vytautas & Andersen, Anders N. & Katz, Jonas, 2009. "Feasibility of CHP-plants with thermal stores in the German spot market," Applied Energy, Elsevier, vol. 86(11), pages 2308-2316, November.
    10. Foued Saâdaoui, 2013. "The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 42(1), pages 47-69, June.
    11. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
    12. Liu, Heping & Shi, Jing, 2013. "Applying ARMA–GARCH approaches to forecasting short-term electricity prices," Energy Economics, Elsevier, vol. 37(C), pages 152-166.
    13. Tryggvi Jónsson & Pierre Pinson & Henrik Madsen & Henrik Aalborg Nielsen, 2014. "Predictive Densities for Day-Ahead Electricity Prices Using Time-Adaptive Quantile Regression," Energies, MDPI, Open Access Journal, vol. 7(9), pages 1-25, August.
    14. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    15. Auer, Benjamin R., 2016. "How does Germany's green energy policy affect electricity market volatility? An application of conditional autoregressive range models," Energy Policy, Elsevier, vol. 98(C), pages 621-628.
    16. Amjady, Nima & Keynia, Farshid, 2010. "A new spinning reserve requirement forecast method for deregulated electricity markets," Applied Energy, Elsevier, vol. 87(6), pages 1870-1879, June.
    17. García-Martos, Carolina & Rodríguez, Julio & Sánchez, María Jesús, 2013. "Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities," Applied Energy, Elsevier, vol. 101(C), pages 363-375.
    18. Rahimiyan, Morteza & Morales, Juan M. & Conejo, Antonio J., 2011. "Evaluating alternative offering strategies for wind producers in a pool," Applied Energy, Elsevier, vol. 88(12), pages 4918-4926.
    19. He, Kaijian & Yu, Lean & Tang, Ling, 2015. "Electricity price forecasting with a BED (Bivariate EMD Denoising) methodology," Energy, Elsevier, vol. 91(C), pages 601-609.
    20. Keles, Dogan & Scelle, Jonathan & Paraschiv, Florentina & Fichtner, Wolf, 2016. "Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks," Applied Energy, Elsevier, vol. 162(C), pages 218-230.
    21. G P Girish & Aviral Kumar Tiwari, 2016. "A comparison of different univariate forecasting models forSpot Electricity Price in India," Economics Bulletin, AccessEcon, vol. 36(2), pages 1039-1057.

  7. Abdou Kâ Diongue & Dominique Guegan, 2004. "Estimating parameters for a k-GIGARCH process," Post-Print halshs-00188531, HAL.

    Cited by:

    1. Artiach, Miguel & Arteche, Josu, 2012. "Doubly fractional models for dynamic heteroscedastic cycles," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2139-2158.
    2. Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00235179, HAL.

  8. Dominique Guegan & Abdou Kâ Diongue & Bertrand Vignal, 2004. "A k- factor GIGARCH process : estimation and application to electricity market spot prices," Post-Print halshs-00188533, HAL.

    Cited by:

    1. Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188264, HAL.

Articles

  1. 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.
    See citations under working paper version above.
  2. Diongue, Abdou Kâ & Diop, Aliou & Ndongo, Mor, 2008. "Seasonal fractional ARIMA with stable innovations," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1404-1411, September.

    Cited by:

    1. John Goddard & Enrico Onali, 2014. "Self-affinity in financial asset returns," Papers 1401.7170, arXiv.org.
    2. Marques, G.O.L.C., 2011. "Empirical aspects of the Whittle-based maximum likelihood method in jointly estimating seasonal and non-seasonal fractional integration parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(1), pages 8-17.

  3. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June. See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (7) 2008-01-05 2009-04-25 2009-12-11 2011-08-02 2011-08-09 2011-10-09 2011-10-15. Author is listed
  2. NEP-AFR: Africa (4) 2011-08-02 2011-08-09 2011-10-09 2011-10-15
  3. NEP-ECM: Econometrics (4) 2008-02-16 2008-04-15 2008-05-17 2009-04-25
  4. NEP-ORE: Operations Research (4) 2008-01-05 2008-02-16 2008-05-17 2009-04-25
  5. NEP-PPM: Project, Program & Portfolio Management (4) 2011-08-02 2011-08-09 2011-10-09 2011-10-15
  6. NEP-ETS: Econometric Time Series (3) 2008-02-16 2008-05-17 2009-04-25
  7. NEP-FOR: Forecasting (3) 2008-01-05 2009-04-25 2009-12-11
  8. NEP-DEV: Development (1) 2011-08-09
  9. NEP-HME: Heterodox Microeconomics (1) 2011-08-02

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