About: Modeling long-term electricity contracts at EEX

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The main aim of this paper is to develop and calibrate an econometric model for modeling prices of long term electricity future contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks, which have to be taken into account for modeling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Futures with next year's delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Y and 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX. The main aim of this paper is to develop and calibrate an econometric model for modeling prices of long term electricity future contracts. The calibration of our model is performed on data from EEX AG allowing us to capture the specific features of German electricity market. The data sample contains several structural breaks, which have to be taken into account for modeling. We model the data with an ARIMAX model which reveals high correlation between the price of electricity futures contracts (namely Phelix Base Futures with next year's delivery) and prices of long-term futures contracts of fuels (namely coal, natural gas and crude oil). Besides this, also a share price index of representative electricity companies traded on Xetra, spread between 10Y and 1Y German bonds and exchange rate between EUR and USD appeared to have significant explanatory power over these futures contracts on EEX. (en)
Title	Modeling long-term electricity contracts at EEX Modeling long-term electricity contracts at EEX (en)
skos:prefLabel	Modeling long-term electricity contracts at EEX Modeling long-term electricity contracts at EEX (en)
skos:notation	RIV/00216208:11230/11:10100428!RIV12-GA0-11230___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GAP403/10/1235), S
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2012
http://linked.open...aciTvurceVysledku	Flasza, Robert Šolc, Jan Rippel, Milan
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	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	212973
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/11:10100428
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	risk premiums; natural gas; studies; prices; time series; economic models; neural networks; variables (en)
http://linked.open.../riv/klicoveSlovo	economic models risk premiums natural gas neural networks prices studies time series variables
http://linked.open...odStatuVydavatele	US - Spojené státy americké
http://linked.open...ontrolniKodProRIV	[5CDBA015189C]
http://linked.open...i/riv/nazevZdroje	Economics, Management, and Financial Markets
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	3 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Institutional Responses to Financial Market Failures
http://linked.open...UplatneniVysledku	2011
http://linked.open...v/svazekPeriodika	6
http://linked.open...iv/tvurceVysledku	Flasza, Robert Rippel, Milan Šolc, Jan
issn	1842-3191
number of pages	10 (xsd:int)
http://localhost/t...ganizacniJednotka	11230

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