By means of wavelet transform, an ARIMA time series can be split into different frequency com- ponents. In doing so, one is able to identify relevant patters within this time series, and there are different ways to utilize this feature to improve existing time series forecasting methods....

In this paper we introduce a new stochastic long-term/short-term model for short-term electricity prices, and apply it to four major European indices, namely to the German, Dutch, UK and Nordic one. We give evidence that all time series contain certain periodic (mostly annual) patterns, and show...