The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics
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Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00259225
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- 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.
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- 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.
- 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.
- Abdou Kâ Diongue & Dominique Guegan & Bertrand Vignal, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00307606, HAL.
- 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.
- 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.
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Keywords
A-PARCH; Asymmetric distribution function; electricity spot prices; Leptokurtosis; persistence; seasonality; GARMA; A-PARCH.; Distribution asymétrique; prix d'électricité; persistance; longue mémoire; A-P-ARCH; Gegenbauer.;JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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