کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
705747 | 1460930 | 2007 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Extended ARMA models for estimating price developments on day-ahead electricity markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
مهندسی انرژی و فناوری های برق
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper extended models for estimating price developments on electricity markets are presented. The models consider deviations from the normality hypothesis of the prices. Based on an ARMA model combination with GARCH, Gaussian-mixture and switching-regime approaches are comparatively discussed. The comparison is based on historic electricity prices of the spot and two reserve markets in Germany. It is shown that the proposed extended models lead to significantly improved representations of the considered stochastic price processes. It is inferred that these models may be preferred for estimating price developments on electricity markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Electric Power Systems Research - Volume 77, Issues 5–6, April 2007, Pages 583–593
Journal: Electric Power Systems Research - Volume 77, Issues 5–6, April 2007, Pages 583–593
نویسندگان
Derk J. Swider, Christoph Weber,