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Statements

Subject Item
n2:RIV%2F61989100%3A27510%2F10%3A10225386%21RIV11-MSM-27510___
rdf:type
skos:Concept n20:Vysledek
dcterms: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.
dcterms: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
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
skos:notation
RIV/61989100:27510/10:10225386!RIV11-MSM-27510___
n3:aktivita
n15:S
n3:aktivity
S
n3:dodaniDat
n11:2011
n3:domaciTvurceVysledku
n13:4690907 n13:9300295
n3:druhVysledku
n19:D
n3:duvernostUdaju
n12:S
n3:entitaPredkladatele
n14:predkladatel
n3:idSjednocenehoVysledku
271926
n3:idVysledku
RIV/61989100:27510/10:10225386
n3:jazykVysledku
n4:eng
n3:klicovaSlova
non-linear least squares method; regime-switching; mean-reversion process; electricity price; Electricity
n3:klicoveSlovo
n5:regime-switching n5:mean-reversion%20process n5:electricity%20price n5:Electricity n5:non-linear%20least%20squares%20method
n3:kontrolniKodProRIV
[BA3D19AFAABE]
n3:mistoKonaniAkce
České Budějovice
n3:mistoVydani
České Budějovice
n3:nazevZdroje
Mathematical Methods in Economics 2010
n3:obor
n18:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n11:2010
n3:tvurceVysledku
Čulík, Miroslav Valecký, Jiří
n3:typAkce
n9:EUR
n3:wos
000287979900018
n3:zahajeniAkce
2010-09-08+02:00
s:numberOfPages
6
n17:hasPublisher
University of South Bohemia
n6:isbn
978-80-7394-218-2
n7:organizacniJednotka
27510