A K-factor GIGARCH process: Estimation and application on electricity market spot prices

2004 International Conference on Probabilistic Methods Applied to Power Systems

Volumn , Issue , 2004, Pages 1-7

  Kâ, Diongue Abdou ^a,b   Dominique, Guégan ^b   Bertrand, Vignal ^a  

^a EDF R AND D   (France)

^b UNIVERSITÉ PARIS SACLAY   (France)

Author keywords

Heteroskedasticity; Long memory; Spot prices; Whittle estimation

Indexed keywords

ASYMPTOTIC STABILITY; CORRELATION METHODS; COSTS; ELECTRIC INDUSTRY; ELECTRICITY; INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; MATRIX ALGEBRA; PARAMETER ESTIMATION; POLYNOMIALS; RECURSIVE FUNCTIONS; WHITE NOISE;

HETEROSKEDASTICITY; LONG-MEMORY; SPOT PRICES; WHITTLE ESTIMATION;

ELECTRIC RATES;

EID: 14544291410     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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