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PPN: |
612503909 
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Titel: |
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Verfasser: |
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Ort/Jahr: |
Erlangen : Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung, 2009 |
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Sprache/n: |
Englisch |
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Umfang: |
Online-Ressource (17 S.) : graph. Darst. |
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Schriftenreihe: |
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Anmerkung: |
Systemvoraussetzungen: Acrobat Reader |
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Identifier: |
Handle: 10419/29555 |
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Klassifikation: |
Journal of Economic Literature: C32 | C51 |
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Inhalt:
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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 |
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