Search Results - subject:"GIGARCH process"

Forecasting electricity spot market prices with a k-factor GIGARCH process

Diongue, Abdou Kâ; Guegan, Dominique; Vignal, Bertrand - HAL - 2009

-factor GIGARCH process. We are particularly interested in calculating the conditional variance of the prediction error. We apply this …-factor GIGARCH process is a suitable tool to forecast spot prices, using the classical RMSE criteria. …

Persistent link: https://www.econbiz.de/10010738481

Forecasting electricity spot market prices with a k-factor GIGARCH process

Diongue, Abdou Kâ; Guegan, Dominique; Vignal, Bertrand - HAL - 2007

Persistent link: https://www.econbiz.de/10010738662

Forecasting electricity spot market prices with a k-factor GIGARCH process.

Diongue, Abdou Kâ; Guégan, Dominique; Vignal, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

Persistent link: https://www.econbiz.de/10005670888

A k- factor GIGARCH process : estimation and application to electricity market spot prices,

Guegan, Dominique; Diongue, Abdou Kâ; Vignal, Bertrand - HAL - 2004

-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we …

Persistent link: https://www.econbiz.de/10008792746

Estimating parameters for a k-GIGARCH process

Diongue, Abdou Kâ; Guegan, Dominique - HAL - 2004

-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we …

Persistent link: https://www.econbiz.de/10008793109

A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

Guegan, Dominique - HAL - 2003

We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are...

Persistent link: https://www.econbiz.de/10008788958