@techreport{Schluter2009factor,
abstract = {The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the long-term trend from its short-term motion. The short-term/long-term model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a bivariate SARMA-CCC-GARCH model to fit best. Moreover it surpasses the goodness of fit of an univariate GARCH model, which shows that the additional effort of dealing with a two-factor model is worthwile.},
address = {Erlangen},
author = {Stephan Schl\"{u}ter},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C32; C51; 330; Wavelets; Seasonal Filter; Relative Wavelet Energy; Multivariate GARCH; Energy Price Modelling; Stromtarif; Volatilit\"{a}t; Zustandsraummodell; Zeitreihenanalyse; ARCH-Modell; Multivariate Analyse; Theorie},
language = {eng},
number = {04/2009},
publisher = {Univ., Inst. f\"{u}r Wirtschaftspolitik und Quantitative Wirtschaftsforschung},
title = {A two-factor model for electricity prices with dynamic volatility},
type = {IWQW discussion paper series},
url = {http://hdl.handle.net/10419/29555},
year = {2009}
}
