Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models

Popis výsledku v původním jazyce

The paper is focused on the modelling electricity price. 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. Therefore we concentrate on the regime-switching mean-reversion models using different transition function for switching the particular regime. We propose and compare linear and non-linear mean-reversion models for daily electricity prices at Austria Energy Exchange. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described.Next, linear and non-linear mean-reversion models are described including the model estimation via OLS and NLS method; finally, the empirical linear and non-linear models are proposed and compared in the sense of data fitting.

Název v anglickém jazyce

Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models

Popis výsledku anglicky

The paper is focused on the modelling electricity price. 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. Therefore we concentrate on the regime-switching mean-reversion models using different transition function for switching the particular regime. We propose and compare linear and non-linear mean-reversion models for daily electricity prices at Austria Energy Exchange. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described.Next, linear and non-linear mean-reversion models are described including the model estimation via OLS and NLS method; finally, the empirical linear and non-linear models are proposed and compared in the sense of data fitting.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

Mathematical Methods in Economics 2010

ISBN

978-80-7394-218-2

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

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Název nakladatele

University of South Bohemia

Místo vydání

České Budějovice

Místo konání akce

České Budějovice

Datum konání akce

8. 9. 2010

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000287979900018