PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F13%3A00212835" target="_blank" >RIV/68407700:21230/13:00212835 - isvavai.cz</a>

Result on the web

<a href="http://aop.vse.cz" target="_blank" >http://aop.vse.cz</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE

Original language description

There is a need to focus on electricity derivatives trading, because this is an important and expanding field. The aim of this paper is the long-term forecasting of the daily futures prices. For this were used two approaches and these are the use of spotprices forecasting to model the future prices and the second is to forecast future prices directly. We will show on the EEX case of study that better results can be achieved by the first approach, where we use mean-reverting, jump-diffusion and regime-switching models for spot prices forecasting. The best results of the spot price forecasting are achieved by the jump-diffusion model, where we will present the benefit of usage of filtrated calibration data.

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

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2013

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Oeconomica Pragensia

ISSN

0572-3043

e-ISSN

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Volume of the periodical

6

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

17

Pages from-to

65-81

UT code for WoS article

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EID of the result in the Scopus database

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