Modeling long-term electricity contracts at EEX
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10051791" target="_blank" >RIV/00216208:11230/10:10051791 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Modeling long-term electricity contracts at EEX
Original language description
The main aim of this paper is to develop and calibrate an econometric model for modeling prices of long term electricity futures contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks which have to be taken into account for modeling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Futures with next year´s delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Yand 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GAP403%2F10%2F1235" target="_blank" >GAP403/10/1235: Institutional Responses to Financial Market Failures</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceeedings of the 2nd International Conference on Business and Economy - Constantza
ISBN
978-1-935494-18-8
ISSN
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e-ISSN
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Number of pages
10
Pages from-to
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Publisher name
Addleton Academic Publishers
Place of publication
New York
Event location
Constanta, Rumunsko
Event date
Nov 11, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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