Modeling and Predicting Electricity Spot Prices: in Deregulated European Energy Markets - Couverture souple

Chaâbane, Najeh

 
9783659352959: Modeling and Predicting Electricity Spot Prices: in Deregulated European Energy Markets
Couverture souple
ISBN 10 : 3659352950 ISBN 13 : 9783659352959
Editeur : LAP LAMBERT Academic Publishing, 2015

Synopsis

We provided an analysis framework for analyzing and understanding electricity spot prices in deregulated European energy markets. We developed some econometric models to be suitable for use in such markets. First, we presented an overview of the electricity market. It enables us to identify the specific features of electricity spot prices and thus give us enough ground to propose the adequate model for modeling these prices. Next, we addressed the issue of modeling electricity spot prices in the oldest and the most promising power markets in the world, namely, the EEX and NordPool markets. To handle the dual the dual long memory phenomena encountered in both markets, price processes are modeled through an ARFIMA-FIGARCH model. Finally, we concentrated on the issues of building empirical models that consider the coexistence of long memory and non-linearity. We followed Zhang’s hybrid methodology and introduced the new ARFIMA-LS-SVM model to describe both long memory and non-linearity simultaneously.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

We provided an analysis framework for analyzing and understanding electricity spot prices in deregulated European energy markets. We developed some econometric models to be suitable for use in such markets. First, we presented an overview of the electricity market. It enables us to identify the specific features of electricity spot prices and thus give us enough ground to propose the adequate model for modeling these prices. Next, we addressed the issue of modeling electricity spot prices in the oldest and the most promising power markets in the world, namely, the EEX and NordPool markets. To handle the dual the dual long memory phenomena encountered in both markets, price processes are modeled through an ARFIMA-FIGARCH model. Finally, we concentrated on the issues of building empirical models that consider the coexistence of long memory and non-linearity. We followed Zhang’s hybrid methodology and introduced the new ARFIMA-LS-SVM model to describe both long memory and non-linearity simultaneously.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2015
Langue
anglais
ISBN 10 
3659352950
ISBN 13 
9783659352959
Reliure
Broché
Nombre de pages
128
Coordonnées du fabricant
non disponible
Personne responsable
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