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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
http://linked.open...avai/riv/aktivity
  • Z(MSM6198910007)
http://linked.open...iv/cisloPeriodika
  • 2
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 486188
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/06:00013408
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Mean-reversion; jumps; skewness; kurtosis; VG model; electricity spot price (en)
http://linked.open.../riv/klicoveSlovo
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
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 4
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
http://linked.open...n/vavai/riv/zamer
issn
  • 1336-1716
number of pages
http://localhost/t...ganizacniJednotka
  • 27510
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