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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/29555
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schlüter, Stephan | | en_US |
| dc.date.accessioned | | 2009-11-09 | | en_US |
| dc.date.accessioned | | 2010-01-13T14:01:58Z | | - |
| dc.date.available | | 2010-01-13T14:01:58Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/29555 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Erlangen | | en_US |
| dc.relation.ispartofseries | | IWQW discussion paper series 04/2009 | | en_US |
| dc.subject.jel | | C32 | | en_US |
| dc.subject.jel | | C51 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Wavelets | | en_US |
| dc.subject.keyword | | Seasonal Filter | | en_US |
| dc.subject.keyword | | Relative Wavelet Energy | | en_US |
| dc.subject.keyword | | Multivariate GARCH | | en_US |
| dc.subject.keyword | | Energy Price Modelling | | en_US |
| dc.subject.stw | | Stromtarif | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Zustandsraummodell | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | ARCH-Modell | | en_US |
| dc.subject.stw | | Multivariate Analyse | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | A two-factor model for electricity prices with dynamic volatility | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 612503909 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:iwqwdp:042009 | | - |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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