Taming uncertainty in energy markets: forecasting with dependency structures
Public support
Provider
Czech Science Foundation
Programme
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Call for proposals
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Main participants
Ústav teorie informace a automatizace AV ČR, v. v. i.
Contest type
M2 - International cooperation
Contract ID
26-21283K
Alternative language
Project name in Czech
Taming uncertainty in energy markets: forecasting with dependency structures
Annotation in Czech
This research project aims to develop novel statistical and econometric time series methods for energy markets, addressing key issues in modeling uncertainty. The project is divided into two work packages focusing on short-term and long-term risks. The first one explores higher-moment risks and dependency structures beyond correlation for short-term forecasting. We plan to extend established linear models by integrating high-dimensional state-space frameworks and advanced quantile-based approaches, enhancing the modeling of extreme events. Additionally, copula-based techniques will be employed to capture complex dependency structures and tail risks. The second package focuses on long-term risks, persistence, and the integration of fundamental information. By incorporating expert-informed fundamental models alongside data-driven techniques, we aim to enhance predictive accuracy and robustness. The proposed methodologies contribute to the advancement of risk management and forecasting in energy markets, providing valuable insights for both academic research and industry applications.
Scientific branches
R&D category
ZV - Basic research
OECD FORD - main branch
50202 - Applied Economics, Econometrics
OECD FORD - secondary branch
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OECD FORD - another secondary branch
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CEP - equivalent branches <br>(according to the <a href="http://www.vyzkum.cz/storage/att/E6EF7938F0E854BAE520AC119FB22E8D/Prevodnik_oboru_Frascati.pdf">converter</a>)
AH - Economics<br>GA - Agricultural economics
Solution timeline
Realization period - beginning
Jul 1, 2026
Realization period - end
Dec 31, 2029
Project status
Z - Beginning multi-year project
Latest support payment
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Data delivery to CEP
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data delivery code
CEP26-GA0-GF-R
Data delivery date
Jul 27, 2026
Finance
Total approved costs
8,826 thou. CZK
Public financial support
8,826 thou. CZK
Other public sources
0 thou. CZK
Non public and foreign sources
0 thou. CZK