Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices

DOI10.1198/016214506000001022zbMath1284.62786WikidataQ60355377 ScholiaQ60355377MaRDI QIDQ5307678

Siem Jan Koopman, M. Angeles Carnero, Marius Ooms

Publication date: 18 September 2007

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214506000001022

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

Related Items

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices, Space-time short- to medium-term wind speed forecasting, A regime switching long memory model for electricity prices, Modeling and forecasting electricity spot prices: a functional data perspective, Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships, Forecasting daily time series using periodic unobserved components time series models, Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown, The power of weather, Periodic autoregressive stochastic volatility, Bayesian skew selection for multivariate models, Structure and estimation of a class of nonstationary yet nonexplosive GARCH models, Parametric Inference in Stationary Time Series Models with Dependent Errors, TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS, Modelling spikes and pricing swing options in electricity markets, ELECTRICITY PRICES: A NONPARAMETRIC APPROACH, NONSTATIONARITY-EXTENDED WHITTLE ESTIMATION, TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN