Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020595" target="_blank" >RIV/61989100:27510/09:00020595 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach
Original language description
The aim of this paper is to estimate and test non-linearities in the electricity prices of three selected regions (California, Nord Europe and Austria).. To exploit non-linearity, we apply the SETAR (Self Exciting Threshold Auto-Regressive) models that imply and distinct regimes in time series dynamics with potentially different parameters (and thus dynamics properties) of each regimes. We find the most appropriate SETAR model for modeling electricity prices at selected markets, next we perform the statistical verification of each model and we also find out if our model outperform the linear AR model.
Czech name
—
Czech description
—

Project
<a href="/en/project/GP402%2F07%2FP121" target="_blank" >GP402/07/P121: Real options and conditions and possibilities of their application in the energy sector</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Finanční řízení podniků a finančních institucí
ISBN
978-80-248-2059-0
ISSN
—
e-ISSN
—
Number of pages
11
Pages from-to
—
Publisher name
Vysoká škola báňská - Technická univerzita Ostrava, Ekonomická fakulta
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 9, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—

Similar results(10)