Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10224993" target="_blank" >RIV/61989100:27510/10:10224993 - 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
Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models
Original language description
This paper is concentrating on the electricity market and electricity prices. 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 of this paper is to propose and compare linear and non-linear mean-reversion models for modelling daily electricity prices in three selected regions (California, North Europe and Austria) including statistical verification. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described. Next, linearand non-linear mean-reversion models are described; these models are applied on the data series of electricity prices at given markets. In the end, statistical verification and result comparison is conducted.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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