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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F09%3A00020595%21RIV10-GA0-27510___
rdf:type
skos:Concept n15:Vysledek
dcterms:description
The aim of this paper is to estimate and test non-linearities in the electricity prices of three selected regions (California, Nord 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. We find the most appropriate SETAR model for modeling electricity prices at selected markets, next we perform the statistical verification of each model and we also find out if our model outperform the linear AR model. The aim of this paper is to estimate and test non-linearities in the electricity prices of three selected regions (California, Nord 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. We find the most appropriate SETAR model for modeling electricity prices at selected markets, next we perform the statistical verification of each model and we also find out if our model outperform the linear AR model.
dcterms:title
Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach
skos:prefLabel
Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach Nonlinear Modeling of Electricity Price: Self Exciting Threshold Auto-Regressive Approach
skos:notation
RIV/61989100:27510/09:00020595!RIV10-GA0-27510___
n5:aktivita
n9:P
n5:aktivity
P(GP402/07/P121)
n5:dodaniDat
n17:2010
n5:domaciTvurceVysledku
n6:9300295 n6:4690907
n5:druhVysledku
n13:D
n5:duvernostUdaju
n18:S
n5:entitaPredkladatele
n10:predkladatel
n5:idSjednocenehoVysledku
329717
n5:idVysledku
RIV/61989100:27510/09:00020595
n5:jazykVysledku
n12:eng
n5:klicovaSlova
Electricity; electricity price; regime-switching model; SETAR model; non-linear time series.
n5:klicoveSlovo
n11:SETAR%20model n11:regime-switching%20model n11:electricity%20price n11:Electricity n11:non-linear%20time%20series.
n5:kontrolniKodProRIV
[4CFAE1FDDDAC]
n5:mistoKonaniAkce
Ostrava
n5:mistoVydani
Ostrava
n5:nazevZdroje
Finanční řízení podniků a finančních institucí
n5:obor
n19:AH
n5:pocetDomacichTvurcuVysledku
2
n5:pocetTvurcuVysledku
2
n5:projekt
n8:GP402%2F07%2FP121
n5:rokUplatneniVysledku
n17:2009
n5:tvurceVysledku
Čulík, Miroslav Valecký, Jiří
n5:typAkce
n16:WRD
n5:zahajeniAkce
2009-09-09+02:00
s:numberOfPages
11
n14:hasPublisher
Vysoká škola báňská - Technická univerzita Ostrava, Ekonomická fakulta
n21:isbn
978-80-248-2059-0
n20:organizacniJednotka
27510