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  • Acta Universitatis Lodziensis. Folia Oeconomica
  • Acta Universitatis Lodziensis. Folia Oeconomica nr 206/2007
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AuthorGanczarek, Alicja (1)SubjectAkaike's information criterion (1)
Autoregressive Conditional Heteroscedasticity (1)
Balance Market (1)Day Ahead Market (1)Generalized Autoregressive Conditional Heteroscedasticity (1)Hannan-Quinn’s consistent criterion (1)Maximum Likelihood Method (1)Polish Power Exchange (1)Rissanen’s stochastic complexity criteria (1)Schwarz’s consistent criterion (1)... View MoreDate Issued2007 (1)Has File(s)Yes (1)

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GARCH Models of Time Series on DAM 

Ganczarek, Alicja (Wydawnictwo Uniwersytetu Łódzkiego, 2007)
In this paper an analysis of the time series on the Day Ahead Market (DAM) of the Polish Power Exchange is presented. In this analysis Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models are used to ...

University of Lodz Repository

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