About: Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This paper is focused on the electricity market and electricity prices. The electricity sector is one of the key strategic sectors of every economy and knowledge of demand, supply and prices is very important. Because of the features occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation, non-normal distribution, heteroscedasticity, seasonality, etc.), it is necessary to employ more sophisticated models for the purposes of their modelling. The goal of this paper is to propose the empirical model for modelling daily electricity prices in three selected regions (California, North Europe and Austria). To exploit non-linearity, we apply the SETAR (Self Exciting Threshold Auto-Regressive) models that imply and distinct regimes in time series dynamics with potentially different parameters (and thus dynamics properties) of each regimes. First, the most appropriate SETAR model for modelling electricity prices at selected markets is developed; next, statisti This paper is focused on the electricity market and electricity prices. The electricity sector is one of the key strategic sectors of every economy and knowledge of demand, supply and prices is very important. Because of the features occurring in the time series of electricity prices (i.e. high frequency, non-constant mean, autocorrelation, non-normal distribution, heteroscedasticity, seasonality, etc.), it is necessary to employ more sophisticated models for the purposes of their modelling. The goal of this paper is to propose the empirical model for modelling daily electricity prices in three selected regions (California, North Europe and Austria). To exploit non-linearity, we apply the SETAR (Self Exciting Threshold Auto-Regressive) models that imply and distinct regimes in time series dynamics with potentially different parameters (and thus dynamics properties) of each regimes. First, the most appropriate SETAR model for modelling electricity prices at selected markets is developed; next, statisti (en)
Title	Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions (en)
skos:prefLabel	Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions (en)
skos:notation	RIV/61989100:27510/09:00020596!RIV10-GA0-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(GP402/07/P121)
http://linked.open...iv/cisloPeriodika	4
http://linked.open...vai/riv/dodaniDat	2010
http://linked.open...aciTvurceVysledku	Valecký, Jiří Čulík, Miroslav
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	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	340674
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/09:00020596
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Electricity; electricity price; non-linear time series; regime-switching model; SETAR model. (en)
http://linked.open.../riv/klicoveSlovo	non-linear time series Electricity electricity price regime-switching model SETAR model.
http://linked.open...odStatuVydavatele	CZ - Česká republika
http://linked.open...ontrolniKodProRIV	[D54D68D09B03]
http://linked.open...i/riv/nazevZdroje	Ekonomická revue
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...vavai/riv/projekt	Real options and conditions and possibilities of their application in the energy sector
http://linked.open...UplatneniVysledku	2009
http://linked.open...v/svazekPeriodika	12
http://linked.open...iv/tvurceVysledku	Valecký, Jiří Čulík, Miroslav
issn	1212-3951
number of pages	8 (xsd:int)
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions Self exciting threshold auto-regressive approach for non-linear modelling of daily electricity prices in the selected regions

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