@inbook{432c15ea42c646c7890e2f9b47bd1981,
title = "Which seasonality in Italian daily electricity prices? A study with state space models",
abstract = "The paper presents a study of seasonality in Italian daily electricity prices. In particular, it compares the ARIMA approach with the structural state space approach in the case of seasonal data. Unlike ARIMA modeling, the structural approach has enabled us to detect, in the prices under consideration, the presence of stochastic daily effects whose intensity is slowly decreasing over time. This dynamic of seasonality is the consequence of a more balanced consumption of electricity over the week. Some causes of this behavior will be discussed in the final considerations. Moreover, it will be proved that state space modeling allows the type of seasonality, stochastic or deterministic, to be tested more efficiently than when unit root tests are used.",
keywords = "ARIMA model, Electricity price, Seasonal effect, State space model, Unit root",
author = "Paolo Chirico",
note = "Publisher Copyright: {\textcopyright} 2016, Springer International Publishing Switzerland.",
year = "2016",
doi = "10.1007/978-3-319-27274-0\_24",
language = "English",
series = "Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies",
publisher = "Springer International Publishing",
pages = "275--284",
booktitle = "Studies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies",
}