Modeling and Predicting Electricity Spot Prices | in Deregulated European Energy Markets

Najeh Chaâbane

ISBN 10: 3659352950 / ISBN 13: 9783659352959

Verlag: LAP LAMBERT Academic Publishing, 2015

Modeling and Predicting Electricity Spot Prices | in Deregulated European Energy Markets | Najeh Chaâbane | Taschenbuch | 128 S. | Englisch | 2015 | LAP LAMBERT Academic Publishing | EAN 9783659352959 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Bestandsnummer des Verkäufers 104816545

Inhaltsangabe:

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.

Über die Autorin bzw. den Autor: Najeh Chaâbane, PhD, studied applied statistics at the University of Sousse. Assistant Professor at the Higher Institute of Finance, Tunisia.

Bibliografische Details

Titel: Modeling and Predicting Electricity Spot ...
Verlag: LAP LAMBERT Academic Publishing
Erscheinungsdatum: 2015
Einband: Taschenbuch
Zustand: Neu