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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Schlüter, Stephan | en |
dc.date.accessioned | 2009-11-09 | - |
dc.date.accessioned | 2010-01-13T14:01:58Z | - |
dc.date.available | 2010-01-13T14:01:58Z | - |
dc.date.issued | 2009 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnberg | en |
dc.relation.ispartofseries | |aIWQW Discussion Papers |x04/2009 | en |
dc.subject.jel | C32 | en |
dc.subject.jel | C51 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Wavelets | en |
dc.subject.keyword | Seasonal Filter | en |
dc.subject.keyword | Relative Wavelet Energy | en |
dc.subject.keyword | Multivariate GARCH | en |
dc.subject.keyword | Energy Price Modelling | en |
dc.subject.stw | Stromtarif | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Zustandsraummodell | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | ARCH-Modell | en |
dc.subject.stw | Multivariate Analyse | en |
dc.subject.stw | Theorie | en |
dc.title | A two-factor model for electricity prices with dynamic volatility | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 612503909 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:iwqwdp:042009 | en |
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