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1 UFR SAT - Université Gaston Berger de Saint-Louis Sénégal 2 IDHE - Institutions et Dynamiques Historiques de l-Economie

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.

Keywords : Electricity spot prices GIGARCH process estimation theory

Autor: Abdou Kâ Diongue - Dominique Guegan -



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