Analyzing interrelated stochastic trend and seasonality on the example of energy trading data

Fruzsina Mák

Corvinus Economics Working Papers (CEWP) from Corvinus University of Budapest

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).

Keywords: unit root; seasonality; energy exchange (search for similar items in EconPapers)
JEL-codes: C22 Q41 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ene and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cvh:coecwp:2014/09

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