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- W2148483050 abstract "Spot electricity prices are found to be heteroscedastic in the literature. In this paper I analyze the sources of heteroscedasticity. The heteroscedasticity is measured with the autocorrelation function of the squared residuals. I will show that the heteroscedasticity effect consists of a deterministic and a stochastic part. I decompose the heteroscedasticity of power prices into three factors according to the origin of heteroscedasticity: seasonality; long memory; and GARCH behavior. I model the effects of intraweekly seasonality by using the so-called GEV filtering procedure. After removing the deterministic heteroscedasticity, the remaining heteroscedasticity can be described with a GARCH-type model. Empirical calculations show that seasonality incorporates a negative heteroscedasticity effect, i.e. the magnitude of heteroscedasticity increases after the seasonality filtering procedure." @default.
- W2148483050 created "2016-06-24" @default.
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- W2148483050 date "2010-06-01" @default.
- W2148483050 modified "2023-09-26" @default.
- W2148483050 title "Sources of heteroscedasticity in the spot electricity price time series" @default.
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- W2148483050 doi "https://doi.org/10.1109/eem.2010.5558781" @default.
- W2148483050 hasPublicationYear "2010" @default.
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