About: Modeling the electricity spot price at the Czech and Austrian markets by extended VG model

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	V případě modelování spotové ceny elektřiny je nutné brát v úvahu několik podstatných faktorů této specifické komodity. Více konkrétně se jedná o problémy přenosu, ať už v čase či místě. To způsobuje vznik skoků ve výnosech a šikmosti a špičatosti pravděpodobnostního rozdělení. Vývoj stochastických veličin lze obecně modelovat pomocí difúzních procesů, čistě skokových procesů, procesů se skoky a difúzí, mean-reversion procesů, nebo jejich kombinací. V tomto článku je studován alternativní model na bázi tendence návratu k dlouhodobé rovnováze a náhodné složky, která umožňuje modelovat šikmost a špičatost výnosů. Model je aplikován a ověřen na reálných datech českého a rakouského spotového trhu s elektřinou. (cs) When modeling the electricity spot price, several important characteristics of this special sort of commodity should be taken into account. More particularly, the transmission difficulties, either in time (storage) or place (transport), play the key role. These troubles give to arise of jumps, skewness and kurtosis of returns distribution. In general, the price evolution can be modeled by diffusion models, jump models, jump-diffusion models, mean-reverting models or various combination of preceding. An alternative model has been recently introduced in \cite{TickFin06}. This model allows us to respect the mean-reversion as well as the skewness and kurtosis of the underlying distribution. In this paper, we apply this model on the electricity spot price time series of Austrian and Czech open markets. When modeling the electricity spot price, several important characteristics of this special sort of commodity should be taken into account. More particularly, the transmission difficulties, either in time (storage) or place (transport), play the key role. These troubles give to arise of jumps, skewness and kurtosis of returns distribution. In general, the price evolution can be modeled by diffusion models, jump models, jump-diffusion models, mean-reverting models or various combination of preceding. An alternative model has been recently introduced in \cite{TickFin06}. This model allows us to respect the mean-reversion as well as the skewness and kurtosis of the underlying distribution. In this paper, we apply this model on the electricity spot price time series of Austrian and Czech open markets. (en)
Title	Modeling the electricity spot price at the Czech and Austrian markets by extended VG model Modelování spotové ceny elektřiny na českém a rakouském trhu pomocí rozšířeného VG modelu (cs) Modeling the electricity spot price at the Czech and Austrian markets by extended VG model (en)
skos:prefLabel	Modeling the electricity spot price at the Czech and Austrian markets by extended VG model Modelování spotové ceny elektřiny na českém a rakouském trhu pomocí rozšířeného VG modelu (cs) Modeling the electricity spot price at the Czech and Austrian markets by extended VG model (en)
skos:notation	RIV/61989100:27510/06:00013408!RIV07-MSM-27510___
http://linked.open.../vavai/riv/strany	193-202
http://linked.open...avai/riv/aktivita	Z
http://linked.open...avai/riv/aktivity	Z(MSM6198910007)
http://linked.open...iv/cisloPeriodika	2
http://linked.open...vai/riv/dodaniDat	2007
http://linked.open...aciTvurceVysledku	Tichý, Tomáš
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	486188
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/06:00013408
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Mean-reversion; jumps; skewness; kurtosis; VG model; electricity spot price (en)
http://linked.open.../riv/klicoveSlovo	skewness jumps kurtosis Mean-reversion VG model electricity spot price
http://linked.open...odStatuVydavatele	SK - Slovenská republika
http://linked.open...ontrolniKodProRIV	[631E93D11FF0]
http://linked.open...i/riv/nazevZdroje	Journal of Information, Control and Management Systems
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2006
http://linked.open...v/svazekPeriodika	4
http://linked.open...iv/tvurceVysledku	Tichý, Tomáš
http://linked.open...n/vavai/riv/zamer	Research of the reliability of power systems in connection with non-traditional ecological sources of energy and valuation of unsupplied energy
issn	1336-1716
number of pages	10 (xsd:int)
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	Modeling the electricity spot price at the Czech and Austrian markets by extended VG model Modeling the electricity spot price at the Czech and Austrian markets by extended VG model

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