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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

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

Popis výsledku anglicky

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

Druh

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

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GP402%2F07%2FP121" target="_blank" >GP402/07/P121: Reálné opce a podmínky a možnosti jejich aplikace v odvětví energetiky</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2009

Kód důvěrnosti údajů

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

Název periodika

Ekonomická revue

ISSN

1212-3951

e-ISSN

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Svazek periodika

12

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

8

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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