Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
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- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
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More about this item
KeywordsAutoregressive fractionally integrated moving average model; Generalised autoregressive conditional heteroskedasticity model; Long memory process; Periodic autoregressive model; Volatility;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ENE-2006-01-24 (Energy Economics)
- NEP-ETS-2006-01-24 (Econometric Time Series)
- NEP-FIN-2006-01-24 (Finance)
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