Work

A k- factor GIGARCH process : estimation and application to electricity market spot prices

Year: 2004

Type: preprint

Abstract: 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.

Source: RePEc: Research Papers in Economics

Authors: Dominique Guégan, Abdou Kâ Diongue, Bertrand Vignal

Institutions: Institutions et Dynamiques Historiques de l'Économie et de la Société, Université Gaston Berger

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W20645781

Cites:

Cited by: 4

Related to: 10