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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F09%3A00020596%21RIV10-GA0-27510___
rdf:type
n9:Vysledek skos:Concept
dcterms: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
dcterms: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
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
skos:notation
RIV/61989100:27510/09:00020596!RIV10-GA0-27510___
n3:aktivita
n12:P
n3:aktivity
P(GP402/07/P121)
n3:cisloPeriodika
4
n3:dodaniDat
n5:2010
n3:domaciTvurceVysledku
n11:9300295 n11:4690907
n3:druhVysledku
n13:J
n3:duvernostUdaju
n15:S
n3:entitaPredkladatele
n16:predkladatel
n3:idSjednocenehoVysledku
340674
n3:idVysledku
RIV/61989100:27510/09:00020596
n3:jazykVysledku
n4:eng
n3:klicovaSlova
Electricity; electricity price; non-linear time series; regime-switching model; SETAR model.
n3:klicoveSlovo
n6:Electricity n6:regime-switching%20model n6:electricity%20price n6:SETAR%20model. n6:non-linear%20time%20series
n3:kodStatuVydavatele
CZ - Česká republika
n3:kontrolniKodProRIV
[D54D68D09B03]
n3:nazevZdroje
Ekonomická revue
n3:obor
n7:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n18:GP402%2F07%2FP121
n3:rokUplatneniVysledku
n5:2009
n3:svazekPeriodika
12
n3:tvurceVysledku
Valecký, Jiří Čulík, Miroslav
s:issn
1212-3951
s:numberOfPages
8
n17:organizacniJednotka
27510