• Graduate program
  • Research
  • News
  • Events
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine

03-071/4 - Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices


  • Authors
    M. Angeles Carnero, University of Alicante; Siem Jan Koopman, Vrije Universiteit Amsterdam; Marius Ooms, Vrije Universiteit Amsterdam
  • Publication date
    September 11, 2003
  • Keywords
    Autoregressive fractionally integrated moving average model; Generalised autoregressive conditional heteroskedasticity model; Long memory process; Periodic autoregressive model; Volatility.
  • JEL
    C13; C22; G12.