About: PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE

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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)

Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://aop.vse.cz
Description	There is a need to focus on electricity derivatives trading, because this is an important and expanding field. The aim of this paper is the long-term forecasting of the daily futures prices. For this were used two approaches and these are the use of spot prices forecasting to model the future prices and the second is to forecast future prices directly. We will show on the EEX case of study that better results can be achieved by the first approach, where we use mean-reverting, jump-diffusion and regime-switching models for spot prices forecasting. The best results of the spot price forecasting are achieved by the jump-diffusion model, where we will present the benefit of usage of filtrated calibration data. There is a need to focus on electricity derivatives trading, because this is an important and expanding field. The aim of this paper is the long-term forecasting of the daily futures prices. For this were used two approaches and these are the use of spot prices forecasting to model the future prices and the second is to forecast future prices directly. We will show on the EEX case of study that better results can be achieved by the first approach, where we use mean-reverting, jump-diffusion and regime-switching models for spot prices forecasting. The best results of the spot price forecasting are achieved by the jump-diffusion model, where we will present the benefit of usage of filtrated calibration data. (en)
Title	PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE (en)
skos:prefLabel	PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE PREDICTING THE PRICES OF ELECTRICITY DERIVATIVES ON THE ENERGY EXCHANGE (en)
skos:notation	RIV/68407700:21230/13:00212835!RIV14-MSM-21230___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	6
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Kratochvíl, Štěpán Starý, Oldřich
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	České vysoké učení technické v Praze / Fakulta elektrotechnická
http://linked.open...dnocenehoVysledku	98568
http://linked.open...ai/riv/idVysledku	RIV/68407700:21230/13:00212835
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	electricity derivatives; energy exchange; predicting prices; estimation of the parameters; data filtration (en)
http://linked.open.../riv/klicoveSlovo	data filtration electricity derivatives energy exchange estimation of the parameters predicting prices
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[FAFE8D533E24]
http://linked.open...i/riv/nazevZdroje	Acta Oeconomica Pragensia
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2013
http://linked.open...v/svazekPeriodika	6
http://linked.open...iv/tvurceVysledku	Starý, Oldřich Kratochvíl, Štěpán
issn	0572-3043
number of pages	17 (xsd:int)
http://localhost/t...ganizacniJednotka	21230

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