About: Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models

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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)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The paper is focused on the modelling electricity price. 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. Therefore we concentrate on the regime-switching mean-reversion models using different transition function for switching the particular regime. We propose and compare linear and non-linear mean-reversion models for daily electricity prices at Austria Energy Exchange. 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 including the model estimation via OLS and NLS method; finally, the empirical linear and non-linear models are proposed and compared in the sense of data fitting. The paper is focused on the modelling electricity price. 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. Therefore we concentrate on the regime-switching mean-reversion models using different transition function for switching the particular regime. We propose and compare linear and non-linear mean-reversion models for daily electricity prices at Austria Energy Exchange. 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 including the model estimation via OLS and NLS method; finally, the empirical linear and non-linear models are proposed and compared in the sense of data fitting. (en)
Title	Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models (en)
skos:prefLabel	Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models (en)
skos:notation	RIV/61989100:27510/10:10225386!RIV11-MSM-27510___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Valecký, Jiří Čulík, Miroslav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
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	271926
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/10:10225386
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	non-linear least squares method; regime-switching; mean-reversion process; electricity price; Electricity (en)
http://linked.open.../riv/klicoveSlovo	mean-reversion process Electricity electricity price non-linear least squares method regime-switching
http://linked.open...ontrolniKodProRIV	[BA3D19AFAABE]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Mathematical Methods in Economics 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...iv/tvurceVysledku	Valecký, Jiří Čulík, Miroslav
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open...ain/vavai/riv/wos	000287979900018
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	University of South Bohemia
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	27510
is http://linked.open...avai/riv/vysledek of	Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models Modelling daily electricity prices at Austria Energy Exchange: linear vs. non-linear (regime-switching) M-R models

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