Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F09%3A00020596" target="_blank" >RIV/61989100:27510/09:00020596 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions

Original language description

This paper is focused on the electricity market and electricity prices. The electricity sector is one of the key strategic sectors of every economy and knowledge of demand, supply and prices is very important. Because of the features occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation, non-normal distribution, heteroscedasticity, seasonality, etc.), it is necessary to employ more sophisticated models for the purposes of their modelling. The goal ofthis paper is to propose the empirical model for modelling daily electricity prices in three selected regions (California, North 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. First, the most appropriate SETAR model for modelling electricity prices at selected markets is developed

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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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

Name of the periodical

Ekonomická revue

ISSN

1212-3951

e-ISSN

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Volume of the periodical

12

Issue of the periodical within the volume

4

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

8

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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