Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004
-of-the-week periodicity and long memory are important determinants for the dynamic modelling of the conditional mean of electricity spot … long memory model with periodic coefficients is required to model daily spot prices effectively. Further, strong evidence … autoregressive coefficients is also stablished, but evidence of long memory is not found and existence of dynamic behaviour in the …