Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices

M. Ooms, S.J. Koopman, A.M. Carnero

Research output: Working paperProfessional

Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages27
Publication statusPublished - 2005

Publication series

NameTI Discussion Paper
No.05/091-4

Cite this

Ooms, M., Koopman, S. J., & Carnero, A. M. (2005). Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices. (TI Discussion Paper; No. 05/091-4). Amsterdam: Tinbergen Instituut (TI).
Ooms, M. ; Koopman, S.J. ; Carnero, A.M. / Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices. Amsterdam : Tinbergen Instituut (TI), 2005. (TI Discussion Paper; 05/091-4).
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Ooms, M, Koopman, SJ & Carnero, AM 2005 'Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices' TI Discussion Paper, no. 05/091-4, Tinbergen Instituut (TI), Amsterdam.

Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices. / Ooms, M.; Koopman, S.J.; Carnero, A.M.

Amsterdam : Tinbergen Instituut (TI), 2005. (TI Discussion Paper; No. 05/091-4).

Research output: Working paperProfessional

TY - UNPB

T1 - Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices

AU - Ooms, M.

AU - Koopman, S.J.

AU - Carnero, A.M.

PY - 2005

Y1 - 2005

M3 - Working paper

T3 - TI Discussion Paper

BT - Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices

PB - Tinbergen Instituut (TI)

CY - Amsterdam

ER -

Ooms M, Koopman SJ, Carnero AM. Periodic seasonal reg-ARFIMA-GARCH models for daily electricity spot prices. Amsterdam: Tinbergen Instituut (TI). 2005. (TI Discussion Paper; 05/091-4).