About: Modeling prices of electricity futures at EEX

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Abstract-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 and prices of LT 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. Abstract-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 and prices of LT 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 prices of electricity futures at EEX Modeling prices of electricity futures at EEX (en)
skos:prefLabel	Modeling prices of electricity futures at EEX Modeling prices of electricity futures at EEX (en)
skos:notation	RIV/00216208:11230/11:10098799!RIV12-GA0-11230___
http://linked.open...avai/predkladatel	Fakulta sociálních věd
http://linked.open...avai/riv/aktivita	P S Z
http://linked.open...avai/riv/aktivity	P(GAP403/10/1235), S, Z(MSM0021620841)
http://linked.open...iv/cisloPeriodika	June 2011
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	213026
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/11:10098799
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	allowances; emission; ARIMAX; EEX; Electricity futures (en)
http://linked.open.../riv/klicoveSlovo	ARIMAX EEX Electricity futures allowances emission
http://linked.open...odStatuVydavatele	FR - Francouzská republika
http://linked.open...ontrolniKodProRIV	[13466B277D83]
http://linked.open...i/riv/nazevZdroje	Proceedings of World Academy of Science, Engineering and Technology
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	78
http://linked.open...iv/tvurceVysledku	Flasza, Robert Rippel, Milan Šolc, Jan
http://linked.open...n/vavai/riv/zamer	Development of the Czech Society in the EU: challenges and risks
issn	2070-3740
number of pages	5 (xsd:int)
http://localhost/t...ganizacniJednotka	11230
is http://linked.open...avai/riv/vysledek of	Modeling prices of electricity futures at EEX Modeling prices of electricity futures at EEX

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