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Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

Author

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  • Fruzsina Mák

    (Corvinus University of Budapest, Department of Statistics, Budapest, Hungary)

Abstract

The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).

Suggested Citation

  • Fruzsina Mák, 2014. "Analyzing interrelated stochastic trend and seasonality on the example of energy trading data," Society and Economy, Akadémiai Kiadó, Hungary, vol. 36(2), pages 233-261, June.
    • Handle: RePEc:aka:soceco:v:36:y:2014:i:2:p:233-261
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    More about this item

    Keywords

    unit root; seasonality; energy exchange;
    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
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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