Society and Economy
Volume/Issue:
Volume 36: Issue 2
Analyzing interrelated stochastic trend and seasonality on the example of energy trading data
Author:
Fruzsina Mák Corvinus University of Budapest Department of Statistics Budapest Hungary

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Pages:
233–261
Online Publication Date:
05 Jun 2014
Publication Date:
01 Jun 2014
Article Category:
Research Article
DOI:
https://doi.org/10.1556/socec.36.2014.2.6
Keywords:
unit root; seasonality; energy exchange; C22; Q41
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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).

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Cover Society and Economy
Society and Economy
Print ISSN:
1588-9726
Online ISSN:
1588-970X

Editor-in-chief: Balázs SZENT-IVÁNYI

Co-Editors:

  • Péter MARTON (Corvinus University, Budapest)
  • István KÓNYA (Corvinus University, Budapest)
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Associate Editors:

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2023  
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Society and Economy
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Society and Economy
Language English
Size B5
Year of
Foundation		 1972
Volumes
per Year		 1
Issues
per Year		 4
Founder Budapesti Corvinus Egyetem
Founder's
Address		 H-1093 Budapest, Hungary Fővám tér 8.
Publisher Akadémiai Kiadó
Publisher's
Address		 H-1117 Budapest, Hungary 1516 Budapest, PO Box 245.
Responsible
Publisher		 Chief Executive Officer, Akadémiai Kiadó
ISSN 1588-9726 (Print)
ISSN 1588-970X (Online)

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