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dc.contributor.authorSchlüter, Stephanen_US
dc.date.accessioned2009-11-09en_US
dc.date.accessioned2010-01-13T14:01:58Z-
dc.date.available2010-01-13T14:01:58Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/29555-
dc.description.abstractThe 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.isoengen_US
dc.publisherUniv., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Erlangenen_US
dc.relation.ispartofseriesIWQW discussion paper series 04/2009en_US
dc.subject.jelC32en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordWaveletsen_US
dc.subject.keywordSeasonal Filteren_US
dc.subject.keywordRelative Wavelet Energyen_US
dc.subject.keywordMultivariate GARCHen_US
dc.subject.keywordEnergy Price Modellingen_US
dc.subject.stwStromtarifen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwZustandsraummodellen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwMultivariate Analyseen_US
dc.subject.stwTheorieen_US
dc.titleA two-factor model for electricity prices with dynamic volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn612503909en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:iwqwdp:042009-
Appears in Collections:IWQW Discussion Paper Series, FAU Erlangen-Nürnberg

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