Estimation of a dynamic multi-level factor model with possible long-range dependence
Yunus Emre Ergemen, C. Vladimir Rodríguez-Caballero
| Year of publication: |
2023
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|---|---|
| Authors: | Ergemen, Yunus Emre ; Rodríguez-Caballero, Carlos Vladimir |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 39.2023, 1, p. 405-430
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| Subject: | Electricity price forecasting | Fractional cointegration | Long-range dependence | Multi-level factors | Nord Pool power market | Strompreis | Electricity price | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Prognoseverfahren | Forecasting model | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Elektrizitätswirtschaft | Electric power industry | Nordeuropa | Northern Europe | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2021.12.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014462789