Long-term Memory in Electricity Prices: Czech Market Evidence

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10173762" target="_blank" >RIV/00216208:11230/13:10173762 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985556:_____/13:00427660

Výsledek na webu

<a href="http://journal.fsv.cuni.cz/storage/1282_407-24---kristoufek.pdf" target="_blank" >http://journal.fsv.cuni.cz/storage/1282_407-24---kristoufek.pdf</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Long-term Memory in Electricity Prices: Czech Market Evidence

Popis výsledku v původním jazyce

We analyze the long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. Various statistical properties of these prices are studied, and as the dynamics of electricity prices is dominated by cycles-in particular intraday and daily we opt for detrended fluctuation analysis, which is well suited to such specific series. We find that electricity prices are non-stationary but strongly mean-reverting, which distinguishes them from prices of other financial assets, which are usually characterized as unit root series. Such behavior is attributed to specific features of electricity, in particular its non-storability. Additionally, we argue that the rapid mean-reversion is due to the principles of electricity spotprices. These properties are shown to be stable across all the years studied.

Název v anglickém jazyce

Long-term Memory in Electricity Prices: Czech Market Evidence

Popis výsledku anglicky

We analyze the long-term memory properties of hourly prices of electricity in the Czech Republic between 2009 and 2012. Various statistical properties of these prices are studied, and as the dynamics of electricity prices is dominated by cycles-in particular intraday and daily we opt for detrended fluctuation analysis, which is well suited to such specific series. We find that electricity prices are non-stationary but strongly mean-reverting, which distinguishes them from prices of other financial assets, which are usually characterized as unit root series. Such behavior is attributed to specific features of electricity, in particular its non-storability. Additionally, we argue that the rapid mean-reversion is due to the principles of electricity spotprices. These properties are shown to be stable across all the years studied.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

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

Název periodika

Finance a úvěr

ISSN

0015-1920

e-ISSN

—

Svazek periodika

63

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

18

Strana od-do

407-424

Kód UT WoS článku

000326923700002

EID výsledku v databázi Scopus

—