Long memory in electricity prices return and volatility : evidence from OMEL and OMIP markets
Issam Lotfi; M'hamed Eddahbi; Yassine El Qalli
| Year of publication: |
2014
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|---|---|
| Authors: | Lotfi, Issam ; Eddahbi, M'hamed ; El Qalli, Yassine |
| Published in: |
The empirical economics letters : a monthly international journal of economics. - Rajshahi, ISSN 1681-8997, ZDB-ID 2560109-X. - Vol. 13.2014, 11, p. 1187-1196
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| Subject: | Electricity market | Futures | Volatility | Long memory | FIGARCH | Volatilität | Strompreis | Electricity price | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Elektrizitätswirtschaft | Electric power industry | Rohstoffderivat | Commodity derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010527296