"Application of the linear and non-linear M-R models at electricity time-series at deregulated markets" . . . . "000306816200006" . "[9E1BCE47D222]" . . "Vysok\u00E1 \u0161kola b\u00E1\u0148sk\u00E1 - Technick\u00E1 univerzita Ostrava" . "7"^^ . . "Electricity, electricity price, mean-reversion model, non-linear time series"@en . "2010-09-08+02:00"^^ . "RIV/61989100:27510/10:10225417!RIV13-MSM-27510___" . . "Valeck\u00FD, Ji\u0159\u00ED" . "27510" . . . "Application of the linear and non-linear M-R models at electricity time-series at deregulated markets" . "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." . . "Application of the linear and non-linear M-R models at electricity time-series at deregulated markets"@en . . "Application of the linear and non-linear M-R models at electricity time-series at deregulated markets"@en . . "RIV/61989100:27510/10:10225417" . "S" . "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."@en . . "\u0158\u00EDzen\u00ED a modelov\u00E1n\u00ED finan\u010Dn\u00EDch rizik : sborn\u00EDk p\u0159\u00EDsp\u011Bvk\u016F z 5. mezin\u00E1rodn\u00ED v\u011Bdeck\u00E9 konference : 8.-9. z\u00E1\u0159\u00ED 2010, Ostrava, \u010Cesk\u00E1 republika" . . "978-80-248-2306-5" . . "Ostrava" . . "2"^^ . "247513" . "Ostrava" . . . "\u010Cul\u00EDk, Miroslav" . "2"^^ .