About: Modeling long-term electricity contracts at EEX     Goto   Sponge   NotDistinct   Permalink

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

AttributesValues
rdf:type
Description
  • The main aim of this paper is to develop and calibrate an econometric model for modeling prices of long term electricity futures 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 futures 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/00216208:11230/10:10051791!RIV11-GA0-11230___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GAP403/10/1235), S, Z(MSM0021620841)
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
  • 271853
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11230/10:10051791
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • emission allowances; ARIMAX; EEX; electricity futures (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [FA0BBED79B02]
http://linked.open...v/mistoKonaniAkce
  • Constanta, Rumunsko
http://linked.open...i/riv/mistoVydani
  • New York
http://linked.open...i/riv/nazevZdroje
  • Proceeedings of the 2nd International Conference on Business and Economy - Constantza
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Flasza, Robert
  • Rippel, Milan
  • Šolc, Jan
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • Addleton Academic Publishers
https://schema.org/isbn
  • 978-1-935494-18-8
http://localhost/t...ganizacniJednotka
  • 11230
is http://linked.open...avai/riv/vysledek of
Faceted Search & Find service v1.16.118 as of Jun 21 2024


Alternative Linked Data Documents: ODE     Content Formats:   [cxml] [csv]     RDF   [text] [turtle] [ld+json] [rdf+json] [rdf+xml]     ODATA   [atom+xml] [odata+json]     Microdata   [microdata+json] [html]    About   
This material is Open Knowledge   W3C Semantic Web Technology [RDF Data] Valid XHTML + RDFa
OpenLink Virtuoso version 07.20.3240 as of Jun 21 2024, on Linux (x86_64-pc-linux-gnu), Single-Server Edition (126 GB total memory, 107 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software