A k- factor GIGARCH process : estimation and application to electricity market spot prices,
Guegan, Dominique ; Diongue, Abdou Kâ ; Vignal, Bertrand
HAL, halshs-00188533 / Harvested from HAL
Text on HAL
Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for this estimation.
Publié le : 2004-07-05
Classification:  Electricity spot prices,  Electricity spot prices.,  GIGARCH process,  estimation theory,  [SHS.ECO]Humanities and Social Sciences/Economies and finances,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH] 
@article{halshs-00188533,
     author = {Guegan, Dominique and Diongue, Abdou K\^a and Vignal, Bertrand},
     title = {A k- factor GIGARCH process : estimation and application to electricity market spot prices,},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/halshs-00188533}
}

Guegan, Dominique; Diongue, Abdou Kâ; Vignal, Bertrand. A k- factor GIGARCH process : estimation and application to electricity market spot prices,. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00188533/