Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/29555 
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dc.contributor.authorSchlüter, Stephanen
dc.date.accessioned2009-11-09-
dc.date.accessioned2010-01-13T14:01:58Z-
dc.date.available2010-01-13T14:01:58Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnbergen
dc.relation.ispartofseries|aIWQW Discussion Papers |x04/2009en
dc.subject.jelC32en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordWaveletsen
dc.subject.keywordSeasonal Filteren
dc.subject.keywordRelative Wavelet Energyen
dc.subject.keywordMultivariate GARCHen
dc.subject.keywordEnergy Price Modellingen
dc.subject.stwStromtarifen
dc.subject.stwVolatilitäten
dc.subject.stwZustandsraummodellen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwARCH-Modellen
dc.subject.stwMultivariate Analyseen
dc.subject.stwTheorieen
dc.titleA two-factor model for electricity prices with dynamic volatility-
dc.type|aWorking Paperen
dc.identifier.ppn612503909en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:iwqwdp:042009en

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