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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F10%3A10224993%21RIV11-MSM-27510___
rdf:type
n4:Vysledek skos:Concept
dcterms: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.
dcterms: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
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
skos:notation
RIV/61989100:27510/10:10224993!RIV11-MSM-27510___
n3:aktivita
n11:S
n3:aktivity
S
n3:cisloPeriodika
1
n3:dodaniDat
n15:2011
n3:domaciTvurceVysledku
n6:4690907 n6:9300295
n3:druhVysledku
n13:J
n3:duvernostUdaju
n16:S
n3:entitaPredkladatele
n17:predkladatel
n3:idSjednocenehoVysledku
271927
n3:idVysledku
RIV/61989100:27510/10:10224993
n3:jazykVysledku
n8:eng
n3:klicovaSlova
Electricity, electricity price, mean-reversion model, non-linear time series.
n3:klicoveSlovo
n7:mean-reversion%20model n7:Electricity n7:non-linear%20time%20series. n7:electricity%20price
n3:kodStatuVydavatele
DE - Spolková republika Německo
n3:kontrolniKodProRIV
[341F40C378B1]
n3:nazevZdroje
Proceedings of the Finance and Economics Conference 2010
n3:obor
n12:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n15:2010
n3:svazekPeriodika
1
n3:tvurceVysledku
Valecký, Jiří Čulík, Miroslav
s:issn
2190-7927
s:numberOfPages
10
n9:organizacniJednotka
27510