On detecting and modeling periodic correlation in # nancial data

@inproceedings{BroszkiewiczSuwaja2003OnDA,
  title={On detecting and modeling periodic correlation in # nancial data},
  author={E. Broszkiewicz-Suwaja and A. Makagonb and R. Weronc},
  year={2003}
}
  • E. Broszkiewicz-Suwaja, A. Makagonb, R. Weronc
  • Published 2003
For many economic problems standard statistical analysis, based on the notion of stationarity, is not adequate. These include modeling seasonal decisions of consumers, forecasting business cycles and—as we show in the present article—modeling wholesale power market prices. We apply standard methods and a novel spectral domain technique to conclude that electricity price returns exhibit periodic correlation with daily and weekly periods. As such they should be modeled with periodically… CONTINUE READING
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