Online Resource
Erlangen : Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung
Format:
Online-Ressource (17 S.)
,
graph. Darst.
Series Statement:
IWQW discussion paper series 04/2009
Content:
The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the long-term trend from its short-term motion. The short-term/long-term model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly periodicities and time-varying volatility. Eventually we find a bivariate SARMA-CCC-GARCH model to fit best. Moreover it surpasses the goodness of fit of an univariate GARCH model, which shows that the additional effort of dealing with a two-factor model is worthwile. -- Wavelets ; Seasonal Filter ; Relative Wavelet Energy ; Multivariate GARCH ; Energy Price Modelling
Note:
Systemvoraussetzungen: Acrobat Reader.
Language:
English
Keywords:
Arbeitspapier
;
Graue Literatur
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