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  • The aim of this paper is to estimate and test non-linearities in the electricity prices of three selected regions (California, Nord 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. We find the most appropriate SETAR model for modeling electricity prices at selected markets, next we perform the statistical verification of each model and we also find out if our model outperform the linear AR model.
  • The aim of this paper is to estimate and test non-linearities in the electricity prices of three selected regions (California, Nord 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. We find the most appropriate SETAR model for modeling electricity prices at selected markets, next we perform the statistical verification of each model and we also find out if our model outperform the linear AR model. (en)
Title
  • Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach
  • Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach (en)
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  • Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach
  • Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach (en)
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  • RIV/61989100:27510/09:00020595!RIV10-GA0-27510___
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  • P(GP402/07/P121)
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  • 329717
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  • RIV/61989100:27510/09:00020595
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  • Electricity; electricity price; regime-switching model; SETAR model; non-linear time series. (en)
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  • [4CFAE1FDDDAC]
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  • Ostrava
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  • Ostrava
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  • Finanční řízení podniků a finančních institucí
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  • Valecký, Jiří
  • Čulík, Miroslav
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  • Vysoká škola báňská - Technická univerzita Ostrava, Ekonomická fakulta
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  • 978-80-248-2059-0
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  • 27510
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