Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2003
-of-the-week periodicity and long memory are important determinants for the dynamic modelling of the conditional mean of electricity spotprices … long memory model with periodic coefficients is required to model daily spot prices effectively. Further, strong evidence … autoregressive coefficients is also established, but evidence of long memory is not found and existence of dynamic behaviour in the …