Analyzing interrelated stochastic trend and seasonality on the example of energy trading data
Analyzing interrelated stochastic trend and seasonality on the example of energy trading data
Author(s): Fruzsina MákSubject(s): Supranational / Global Economy, Energy and Environmental Studies, Economic policy, International relations/trade, Economic development
Published by: Akadémiai Kiadó
Keywords: unit root; seasonality; energy exchange;
Summary/Abstract: The correct modelling of long- and short-term seasonality is a very interesting issue. The choice between the deterministic and stochastic modelling of trend and seasonality and their implications are as relevant as the case of deterministic and stochastic trends itself. The study considers the special case when the stochastic trend and seasonality do not evolve independently and the usual differencing filters do not apply. The results are applied to the day-ahead (spot) trading data of some main European energy exchanges (power and natural gas).
Journal: Society and Economy. In Central and Eastern Europe ǀ Journal of the Corvinus University of Budapest
- Issue Year: 36/2014
- Issue No: 2
- Page Range: 233-261
- Page Count: 29
- Language: English