Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

Mák, Fruzsina (2014) Analyzing interrelated stochastic trend and seasonality on the example of energy trading data. Society and Economy, 36 (2). pp. 233-261. DOI 10.1556/SocEc.36.2014.2.6

Preview

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
662kB

Official URL: http://www.akademiai.com/content/j340483410408172/

Abstract

The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).

Item Type:

Article

Uncontrolled Keywords:

unit root, seasonality, energy exchange

JEL classification:

C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Q41 - Energy: Demand and Supply; Prices

Divisions:

Faculty of Economics > Department of Statistics

Subjects:

Energy economy
Mathematics, Econometrics

DOI:

10.1556/SocEc.36.2014.2.6

ID Code:

1603

Deposited By:

Ádám Hoffmann

Deposited On:

18 Jun 2014 14:09