Analysing inflation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics, vol.16, issue.1, pp.23-40, 1996. ,
DOI : 10.1002/(SICI)1099-1255(199601)11:1<23::AID-JAE374>3.0.CO;2-M
Studies in stock price volatility changes, Proceedings of 1976 Meeting of Business and Economic Statistics Section, pp.177-181, 1976. ,
Statistics for long memory processes, 1994. ,
Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.307-327, 1986. ,
DOI : 10.1016/0304-4076(86)90063-1
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.161.7380
A conditional heteroscedastic time series model for speculation prices and rates of return, Review of Economics and Statistics, pp.542-547, 1987. ,
ARCH modeling in finance, Journal of Econometrics, vol.52, issue.1-2, pp.5-59, 1992. ,
DOI : 10.1016/0304-4076(92)90064-X
Deregulated Wholesale Electricity Prices in Italy, SSRN Electronic Journal, pp.11294-11301, 1007. ,
DOI : 10.2139/ssrn.888736
Time Series, 1976. ,
DOI : 10.1002/9781118514948.ch8
Time series: theory and methods, 1987. ,
On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study, Economics Bulletin, vol.3, issue.17, pp.1-10, 2002. ,
A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS, Journal of Time Series Analysis, vol.20, issue.2, pp.111-140, 1994. ,
DOI : 10.1214/aos/1176347975
Small sample bias in conditional sum of squares estimators of fractionally integrated ARMA models. in New Developments in Time Series Econometrics, 1993. ,
Energy derivatives -pricing and risk management, 2000. ,
A long memory property of stock market returns and a new model, Journal of Empirical Finance, vol.1, issue.1, pp.83-106, 1993. ,
DOI : 10.1016/0927-5398(93)90006-D
Estimating parameters of a k-factor GIGARCH process, Comptes Rendus Mathematique, vol.339, issue.6, pp.435-440, 2004. ,
DOI : 10.1016/j.crma.2004.07.014
A k-factor GIGARCH process: estimation and application on electricity market spot prices, IEEE Proceedings of the 8 th International Conference on Probabilistic Methods Applied to Power Systems, pp.1-7, 2004. ,
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, vol.50, issue.4, pp.987-1008 ,
DOI : 10.2307/1912773
Modelling electricity prices: international evidence. Economic series 08, Working Paper, pp.2-27, 2002. ,
DOI : 10.1111/j.1468-0084.2011.00632.x
The Behavior of Stock-Market Prices, The Journal of Business, vol.38, issue.1, p.35105, 1965. ,
DOI : 10.1086/294743
A periodic long-memory model for quarterly UK inflation, International Journal of Forecasting, vol.13, issue.1, pp.117-126, 1997. ,
DOI : 10.1016/S0169-2070(96)00715-7
Expected stock returns and volatility, Journal of Financial Economics, vol.19, issue.1, pp.3-29, 1987. ,
DOI : 10.1016/0304-405X(87)90026-2
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.364.7693
A generalized fractionally differencing approach in long-memory modeling, Lithuanian Mathematical Journal, vol.27, issue.1, pp.65-81, 1995. ,
DOI : 10.1007/BF02337048
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, The Journal of Finance, vol.25, issue.5, pp.1779-1801, 1993. ,
DOI : 10.1111/j.1540-6261.1993.tb05128.x
AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING, Journal of Time Series Analysis, vol.7, issue.1, pp.15-29, 1980. ,
DOI : 10.2307/3212527
ON GENERALIZED FRACTIONAL PROCESSES, Journal of Time Series Analysis, vol.7, issue.12, pp.233-257, 1989. ,
DOI : 10.2307/2287515
A New Model: The k-factor GIGARCH Process, Journal of Signal Processing, vol.4, pp.265-271, 2000. ,
A Prospective Study of the k-factor Gegenbauer Process with Heteroscedastic Errors and an Application to Inflation Rates, Finance India, vol.17, issue.1, pp.165-197, 2003. ,
How can we Define the Concept of Long Memory? An Econometric Survey, Econometric Reviews, vol.42, issue.2, pp.113-149, 2005. ,
DOI : 10.1016/0165-1889(94)90039-6
Estimating the volatility of whoelsale electricity spot prices in the U, S. The Energy Journal, vol.25, issue.4, pp.23-40, 2004. ,
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?, Journal of Applied Econometrics, vol.68, issue.7, pp.873-889, 2005. ,
DOI : 10.1002/jae.800
On the power of unit root tests against fractional alternatives, Economics Letters, vol.45, issue.1, pp.1-5, 1994. ,
DOI : 10.1016/0165-1765(94)90049-3
Higher-order dependence in the general Power ARCH process and a special case, Stockholm School of Economics Working Paper Series in Economics and Finance, issue.315, 1999. ,
Statistical properties of the Asymmetric Power ARCH process. Cointegration, causality, and forecasting Festschrift in honour of, pp.462-474, 1999. ,
Systematic features of highfrequency volatility in Australian Electricity markets: Intraday patterns , information arrival and calendar effects, The Energy Journal, vol.26, issue.4, pp.23-41, 2005. ,
Fractional differencing, Biometrika, vol.68, issue.1, pp.165-176, 1981. ,
DOI : 10.1093/biomet/68.1.165
Seasonal integration and cointegration, Journal of Econometrics, vol.44, issue.1-2, pp.215-253, 1990. ,
DOI : 10.1016/0304-4076(90)90080-D
Random difference equations and Renewal theory for products of random matrices, Acta Mathematica, vol.131, issue.0, pp.207-248, 1973. ,
DOI : 10.1007/BF02392040
An empirical examination of restructured electricity prices, Energy Economics, vol.27, issue.5, pp.791-817, 2005. ,
DOI : 10.1016/j.eneco.2004.11.005
Periodic Seasonal Reg-ARFIMA???GARCH Models for Daily Electricity Spot Prices, Journal of the American Statistical Association, vol.102, issue.477, pp.16-27, 2007. ,
DOI : 10.1198/016214506000001022
Modeling financial time series using GARCH-type models with a skewed student distribution for the innovations . Mimeo, 2001. ,
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models, Journal of Economic Surveys, vol.16, issue.3, pp.447-485, 2002. ,
DOI : 10.1111/1467-6419.00174
Analytical Derivates of the APARCH Model, Computational Economics, vol.24, issue.1, pp.51-57, 2004. ,
DOI : 10.1023/B:CSEM.0000038851.72226.76
On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model, Journal of Applied Probability, vol.6, issue.03, pp.688-705, 1999. ,
DOI : 10.1016/0304-4149(75)90033-2
On Fractionally Integrated Autoregressive Moving-Average Time Series Models with Conditional Heteroscedasticity, Journal of the American Statistical Association, vol.18, issue.439, pp.1184-1187, 1997. ,
DOI : 10.1080/01621459.1997.10474076
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS, Econometric Theory, vol.18, issue.03, pp.722-729, 2002. ,
DOI : 10.1017/S0266466602183071
Formulas and theorems for the special functions of mathematical physics, 1966. ,
The Variation of Certain Speculative Prices, The Journal of Business, vol.36, issue.4, pp.394-419, 1963. ,
DOI : 10.1086/294632
Limit theory for the sample autocorrelations and extremes of a GARCH(1, 1) process, Annals of Statistics, vol.28, pp.1427-1451, 2000. ,
Alternative models for conditional stock volatility, Journal of Econometrics, vol.45, issue.1-2, pp.267-290, 1990. ,
DOI : 10.1016/0304-4076(90)90101-X
Special functions. Mac Millan, 1960. ,
Stock Volatility and the Crash of ???87, Review of Financial Studies, vol.3, issue.1, pp.77-102, 1990. ,
DOI : 10.1093/rfs/3.1.77
Forecasting electricity demand using generalized long memory, International Journal of Forecasting, vol.22, issue.1, pp.17-28, 2006. ,
DOI : 10.1016/j.ijforecast.2005.09.004
URL : http://bibliotecadigital.fgv.br/dspace/bitstream/10438/825/2/1334.pdf
Estimation of the extreme value distribution for constant conditional correlation models. Department of Statistics, The Wharton school, University of Pennsylvan USA and Chambers university of technology, 1999. ,
Modelling financial time series, 1986. ,
DOI : 10.1142/6578
The conditional heteroscedasticity of the yen-dollar exchange rate, Journal of Applied Econometrics, vol.13, issue.1, pp.49-55, 1998. ,
DOI : 10.1002/(SICI)1099-1255(199801/02)13:1<49::AID-JAE459>3.0.CO;2-O
ARMA MODELS WITH ARCH ERRORS, Journal of Time Series Analysis, vol.26, issue.2, pp.129-143, 1984. ,
DOI : 10.1016/0304-4076(82)90100-2
Modelling highly volatile and seasonal markets: evidence from the Nord Pool electricity market The Application of Econophysics, pp.182-191, 2004. ,
Modelling and forecasting electricity loads and prices: a statistical approach, 2007. ,
Stochastic Properties of Time-Averaged Financial Data: Explanation and Empirical Demonstration Using Monthly Stock Prices, The Financial Review, vol.28, issue.3, pp.175-190, 2001. ,
DOI : 10.1086/296513
A k-Factor GARMA Long-memory Model, Journal of Time Series Analysis, vol.19, issue.4, pp.485-504, 1998. ,
DOI : 10.1111/j.1467-9892.1998.00105.x
Threshold heteroscedasticity models, Journal of Economic Dynamics and Control, vol.15, pp.931-955, 1994. ,
) (0.0005) (0.0008) (0.0007) (0.0006) (0.00136) (0.0026) (0.0066) (0.0008) ? 1 0, Table 11: Conditional volatility models parameter estimates -Powernext electricity spot market, pp.78960013-78960013 ,
) (0.0009) (0.0011) (0.0004) (0.0002) (0.000000593) (0.0019) (0.0000008) (0.0004) ? 1 0, Table 12: Conditional volatility models parameter estimates -OMEL electricity spot market (-) (0.0024) (0.0003) (-) (12.7295) (0.000317) (-) (0.0557) (0.0003) Log-L 12413 ,