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.