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- Fri Apr 25, 2014 10:36 am
- Forum: Econometric Discussions
- Topic: Trading days effect in natural gas and electricity series
- Replies: 0
- Views: 2040
Trading days effect in natural gas and electricity series
Hi, I am doing a project on GARCH models within the energy markets - gas, electricity, oil using daily data (1 month forward prices 2002-2013). Oil seems to be fine but in electricity and gas time series (residuals, squarred residuals respectively) there seems to be significant autocorrelation aroun...