Models proposal for the day-ahead electricity prices in the US electricity market

被引：0
|
作者：
Culik, Miroslav [1 ]
Valecky, Jiri [1 ]
机构：
[1] Tech Univ Ostrava, Fac Econ, Dept Finance, Ostrava 70121, Czech Republic
来源：
PROCEEDINGS OF THE 25TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2007 | 2007年
关键词：
Autocorrelation; autoregression; Breusch-Godfrey test; Durbin-Watson statistic; electricity; electricity price; geometric Brownian model; homoscedasticity; heteroscedasticity; mean-reversion process; jump process; Lagrange Multiplier; spot price; seasonality; Wiener process;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper is focused on the possibilities of electricity modelling at deregulated European and U.S. electricity market. First, characteristics of electricity price behaviour are described. Next, models frequently used for financial variables modelling are described. In the practical part, electricity day-ahead models are proposed and statistically verified (prices and residuals). Results are compared and general conclusions are made.
引用
收藏
页码：53 / 62
页数：10
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