About: Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models

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About: Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models Goto Sponge NotDistinct Permalink

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	This paper is concentrating on the electricity market and electricity prices. 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 and compare linear and non-linear mean-reversion models for modelling daily electricity prices in three selected regions (California, North Europe and Austria) including statistical verification. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described. Next, linear and non-linear mean-reversion models are described; these models are applied on the data series of electricity prices at given markets. In the end, statistical verification and result comparison is conducted. This paper is concentrating on the electricity market and electricity prices. 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 and compare linear and non-linear mean-reversion models for modelling daily electricity prices in three selected regions (California, North Europe and Austria) including statistical verification. The paper is organized as follows: first, general features of electricity prices and price formation at electricity deregulated markets are described. Next, linear and non-linear mean-reversion models are described; these models are applied on the data series of electricity prices at given markets. In the end, statistical verification and result comparison is conducted. (en)
Title	Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models (en)
skos:prefLabel	Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models (en)
skos:notation	RIV/61989100:27510/10:10224993!RIV11-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2011
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	271927
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10224993
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Electricity, electricity price, mean-reversion model, non-linear time series. (en)
http://linked.open.../riv/klicoveSlovo	mean-reversion model Electricity electricity price non-linear time series.
http://linked.open...odStatuVydavatele	DE - Spolková republika Německo
http://linked.open...ontrolniKodProRIV	[341F40C378B1]
http://linked.open...i/riv/nazevZdroje	Proceedings of the Finance and Economics Conference 2010
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	2010
http://linked.open...v/svazekPeriodika	1
http://linked.open...iv/tvurceVysledku	Valecký, Jiří Čulík, Miroslav
issn	2190-7927
number of pages	10 (xsd:int)
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models Modelling daily electricity prices at deregulated markets by applying linear and non-linear M-R models

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