Application of the linear and non-linear M-R models at electricity time-series at deregulated markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F10%3A10225417" target="_blank" >RIV/61989100:27510/10:10225417 - 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
Application of the linear and non-linear M-R models at electricity time-series at deregulated markets
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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Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Řízení a modelování finančních rizik : sborník příspěvků z 5. mezinárodní vědecké konference : 8.-9. září 2010, Ostrava, Česká republika
ISBN
978-80-248-2306-5
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
48-57
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000306816200006

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