A Two-Factor Model for Electricity Prices with Dynamic Volatility

The wavelet transform is used to identify a biannual and an annual seasonalityin the Phelix Day Peak and to separate the long-term trend from its short-termmotion. The short-term/long-term model for commodity prices of Schwartz &Smith (2000) is applied but generalised to account for weekly periodicities andtime-varying volatility. Eventually we nd a bivariate SARMA-CCC-GARCHmodel to t best.[...]

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Year of publication:	2009
Authors:	Schlüter, Stephan
Institutions:	Friedrich-Alexander-Universität <Erlangen-Nürnberg> ; Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung
Subject:	GARCH-Prozess \| Energiepreis \| Preismodell \| price structure

Table of Contents
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1 Introduction
2 A Long-Term/Short-Term Power Price Model
3 Wavelets as a Preprocessing Tool
4 Benchmarking the Model
5 Conclusion
References

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005866786